Abstract #300082

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JSM 2003 Abstract #300082
Activity Number: 174
Type: Contributed
Date/Time: Monday, August 4, 2003 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing
Abstract - #300082
Title: Computation of Normal Probability in a Polyhedron Using Importance Sampling
Author(s): Qunming Dong*+
Companies: Biogen
Address: 14 Cambridge Center, Cambridge, MA, 02142-1453,
Keywords: Simultaneous statistical inference ; multivariate normal probability ; importance sampling ; Bonferroni inequality ; truncated normal probability
Abstract:

Computation of the normal probability in a polyhedron is frequently encountered in simultaneous statistical inference and Baysian computations. The naive hit or miss method is highly variable if the target probability is too small or too large. This paper proposes an importance sampling strategy to reduce variability in these probability calculations. The method works particularly well when the target probability is large or small, which is often the case in simultaneous inference or Baysian computations. The importance sampler is derived from the Bonferroni inequality and is a mixture of truncated univariate normal distributions.

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