Abstract #300658

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JSM 2002 Abstract #300658
Activity Number: 33
Type: Topic Contributed
Date/Time: Sunday, August 11, 2002 : 4:00 PM to 5:50 PM
Sponsor: Section on Statistical Computing*
Abstract - #300658
Title: Numerical Computation of High Dimensional Integrals for Multiple Comparison Problems
Author(s): Alan Genz*+ and Frank Bretz
Affiliation(s): Washington State University and University of Hannover
Address: PO Box 643113, Pullman, Washington, 99164-3113, USA
Keywords: numerical integration ; multiple comparison ; multiple integral
Abstract:

We consider classes of high-dimensional integrals that are needed for the computation of critical values for multiple comparison problems. The numerical integration problems involve computation of multivariate t-distribution values with integration over regions determined by sets of linear inequalities. We discuss techniques for reduction of dimensionality based on the analysis and simplification of these sets of inequalities. We also consider efficient numerical integration algorithms for the final integrals. The use of the algorithms will be illustrated with examples from multiple-comparison problem applications.

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Revised March 2002