Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
Work
Year: 2017
Type: article
Abstract: The computation of Gaussian orthant probabilities has been extensively studied for low-dimensional vectors. Here, we focus on the high-dimensional case and we present a two-step procedure relying on b... more
Authors Dario Azzimonti, David Ginsbourger
Institutions Idiap Research Institute, University of Bern
Cites: 54
Cited by: 21
Related to: 10
FWCI: 2.031
Citation percentile (by year/subfield): 92.58
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
Funders Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung, Hasler Stiftung
Grant IDS 146354, 16065