Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities

Mathematics

• Monte Carlo Method 100%
• Covariance Structure 100%
• Probability Theory 100%
• Order 66%
• Diagonal 66%
• Monte Carlo 33%
• Computational 33%
• Covariance Matrix 33%
• Monte Carlo Simulation 33%
• Convergence Rate 33%
• Dimensional Problem 33%
• Random Field 33%
• Maximum Likelihood Estimation 33%
• Robust Test 33%
• Approximates 33%
• Variables 33%
• Generators 33%
• Statistics 33%
• Multivariate Normal 33%

INIS

• monte carlo method 100%
• probability 100%
• comparative evaluations 40%
• simulation 40%
• applications 20%
• stochastic processes 20%
• statistics 20%
• randomness 20%
• connections 20%
• size 20%
• approximations 20%
• errors 20%
• dimensions 20%
• matrices 20%
• maximum-likelihood fit 20%
• convergence 20%
• wind 20%
• multivariate analysis 20%

Economics, Econometrics and Finance

• Monte Carlo Simulation 100%
• Order 50%
• Robust Statistics 25%
• Surety 25%
• Spatial Statistics 25%