Asymptotic Approximations for Multinormal Integrals
Publication: Journal of Engineering Mechanics
Volume 110, Issue 3
Abstract
The problem of deriving approximations for multinormal integrals is examined using results of asymptotic analysis. The boundary of the integration domain given by is simplified by replacing by its Taylor expansion at the points on the boundary with minimal distance to the origin. Two approximations which are obtained by using a linear or quadratic Taylor expansion are compared. It is shown that, applying a quadratic Taylor expansion, an asymptotic approximation for multinormal integrals can be obtained, whereas using linear approximations large relative errors may occur.
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Information & Authors
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Published In
Journal of Engineering Mechanics
Volume 110 • Issue 3 • March 1984
Pages: 357 - 366
Copyright
Copyright © 1984 ASCE.
History
Published online: Mar 1, 1984
Published in print: Mar 1984
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