Re: [S] Norm of a Gaussian r.v.

Robert Davies (robertd@netlink.co.nz)
Fri, 13 Nov 1998 08:05:41 +1300


At 11:31 12/11/98 +0100, you wrote:
>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?

Unless your correlation structure has some special form you need a program
for computing the distribution of a quadratic form in normal variables.

There are fortran and C versions on my web site (the fortran version is also
on statlib)

http://webnz.com/robert

Robert

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