Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities.

Fri, 01 Jan 2021 00:00:00 +0100

Jian Cao , Marc G. Genton, David E. Keyes, George M. Turkiyyah:
Exploiting low-rank covariance structures for computing high-dimensional normal and Student-t probabilities. Stat. Comput. 31(1): 2 (2021)