Browsing by Subject "2D-block LDL^t decomposition"
Now showing items 1-1 of 1
-
COMPUTATION OF MULTIVARIATE NORMAL PROBABILITIES USING BIVARIATE CONDITIONING WITH SIMULATION
(2013)We introduce algorithms for block LDL^{t} decompositions of positive definite covariance matrices. These are extensions of the LDL^t decomposition which requires D to be a diagonal matrix. We make use of these algorithms ...