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K. J. Kachiashvili and D. I. Melikdzhanian, “SDpro—The Software Package for Statistical Processing of Experimental Information,” International Journal Information Technology & Decision Making, Vol. 9, No 1, 2010, pp. 1-30. doi:10.1142/S0219622010003634

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• 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.