Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results

Hajivassiliou, VassilisORCID logo; McFadden, Daniel; and Ruud, Paul Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results. Journal of Econometrics, 72 (1-2). pp. 85-134. ISSN 0304-4076
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Item Type Article
Keywords Simulation estimation; Monte Carlo integration; Discrete choice models; Multinomial probit models; Importance sampling; Acceptance/rejection; Gibbs resampling
Departments Economics
STICERD
DOI 10.1016/0304-4076(94)01716-6
Date Deposited 27 Mar 2008 16:21
URI https://researchonline.lse.ac.uk/id/eprint/3920

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