Numerical Computation of Multivariate Normal and Multivariate t Probabilities over Ellipsoidal Regions

Abstract

An algorithm for the computation of multivariate normal and multivariate t probabilities over general hyperellipsoidal regions is given. A special case is the calculation of probabilities for central and noncentral F and x^2 distributions. A FORTRAN 90 program MVELPS.FOR incorporates the algorithm.