TITLE:
Computation of the Multivariate Normal Integral over a Complex Subspace
AUTHORS:
Kartlos Joseph Kachiashvili, Muntazim Abbas Hashmi
KEYWORDS:
Multivariate Normal Integral; Random Variable; Probability; Moments; Series
JOURNAL NAME:
Applied Mathematics,
Vol.3 No.5,
May
16,
2012
ABSTRACT: 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.