Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 58, Issue -, Pages 177-186Publisher
ELSEVIER
DOI: 10.1016/j.csda.2012.08.015
Keywords
Bivariate normal probability; Bivariate t probability; Multiple comparisons; Reliability
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A novel method for the computation of the bivariate normal and t probability is presented. With suitable transformations, the probability over sets can be easily computed using exact one-dimensional numerical integration. An important application includes computing the exact critical points for the comparisons of three normal means for either the known or unknown variance problem. The critical points by one-dimensional integration can be computed using elementary numerical methods and are more accurate than those by the approximation methods and two-dimensional integration methods. The comparisons of reliability measurements from three populations are presented as an example of a known variance case. (C) 2012 Elsevier B.V. All rights reserved.
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