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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