Computation of the Multivariate Normal Integral over a Complex Subspace

• 作者: Kartlos Joseph Kachiashvili Muntazim Abbas Hashmi
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: MULTIVARIATE Normal INTEGRAL Random Variable PROBABILITY MOMENTS Series
• 年，卷（期）: 2012,（5）
• 页码范围: 489-498
• 页数: 10页
• 分类号: O1

摘要

The computation of the multivariate normal integral over a Complex Subspace is a challenge, especially when the inte-gration region is of a complex nature. Such integrals are met with, for example, in the generalized Neyman-Pearson criterion, conditional Bayesian problems of testing many hypotheses and so on. The Monte-Carlo methods could be used for their computation, but at increasing dimensionality of the integral the computation time increases unjustifiedly. Therefore a method of computation of such integrals by series after reduction of dimensionality to one without information loss is offered below. The calculation results are given.