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Computation of the Multivariate Normal Integral over a Complex Subspace

The computation of the multivariate normal integral over a Complex Subspace is a challenge, especially when the inte-gration region is of a complex nature. Such integrals are met with, for example, in the generalized Neyman-Pearson criterion, conditional Bayesian problems of testing many hypotheses and so on. The Monte-Carlo methods could be used for their computation, but at increasing dimensionality of the integral the computation time increases unjustifiedly. Therefore a method of computation of such integrals by series after reduction of dimensionality to one without information loss is offered below. The calculation results are given.

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The authors declare no conflicts of interest.

Cite this paper

K. Kachiashvili and M. Hashmi, "Computation of the Multivariate Normal Integral over a Complex Subspace,"

*Applied Mathematics*, Vol. 3 No. 5, 2012, pp. 489-498. doi: 10.4236/am.2012.35074.

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