Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities.
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| Title: | Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities. |
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| Authors: | Cao, Jian1, jian.cao@kaust.edu.sa, Genton, Marc G.1, Keyes, David E.1, Turkiyyah, George M.2 |
| Source: | Statistics & Computing; Jan2021, Vol. 31 Issue 1, p1-11, 11p |
| Database: | Applied Science & Technology Source |
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| ISSN: | 09603174 |
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| DOI: | 10.1007/s11222-020-09978-y |
