A visual introduction to the Genz method for computing multivariate normal probabilities

I’ve been working on a project that uses quasi-Monte Carlo (QMC) techniques to estimate probabilities for multivariate normal (MVN) distributions on finite or infinite rectangular regions. The goal is to enable SAS users to compute these probabilities accurately and efficiently. My implementation is based on a numerical technique called the […] The post A visual introduction to the Genz method for computing multivariate normal probabilities appeared first on SAS Blogs .