125 citations
- Centre de Recherche en Économie et StatistiqueFR34 papers
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Showing 2014 · stat.COShow all
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stat.CO2014
Computation of Gaussian orthant probabilities in high dimension
James Ridgway
We study the computation of Gaussian orthant probabilities, i.e. the probability that a Gaussian falls inside a quadrant. The Geweke-Hajivassiliou-Keane (GHK) algorithm [Genz, 1992…
stat.CO2014
The Poisson transform for unnormalised statistical models
Simon Barthelmé, Nicolas Chopin
Contrary to standard statistical models, unnormalised statistical models only specify the likelihood function up to a constant. While such models are natural and popular, the lack…