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

Mathematics

• Approximates 20%
• Convergence Rate 20%
• Covariance Matrix 20%
• Covariance Structure 100%
• Diagonal 40%
• Dimensional Problem 20%
• Maximum Likelihood Estimation 20%
• Monte Carlo 100%
• Multivariate Normal 20%
• Random Field 20%
• Robust Test 20%
• Stochastics 20%

Keyphrases

• Error Guarantee 50%
• Multivariate Student 50%
• Quasi-Monte Carlo Simulation 50%
• Right versus Left 50%
• Strong Substitutes 50%