[S] Norm of a Gaussian r.v.

Juergen Dippon (dippon@mathematik.uni-stuttgart.de)
Thu, 12 Nov 1998 11:31:19 +0100 (MEZ)


Dear S-Plus users:

Has anyone written a (S-)function computing the distribution function of
the Euclidean norm of a (centered) multivariate Gaussian random variable G:

P( ||G|| <= x ) = ?

Or, more generally, does anyone know of a paper describing how to compute
this probability efficiently?

Many thanks for any answer!

Juergen Dippon

e-mail: dippon@mathematik.uni-stuttgart.de

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