The model involved in the triangular method is presented, which leads to the need for evaluating a multidimensional integral of the multidimensional normal density function over an irregular region. Work done on the numerical evaluation of this integral is discussed.
This article appears as:
Kapenga, J.A, Mullen, K, de Doncker, E., and Ennis, D. M. (1987). The integration of the multivariate normal density function for the triangular method. Numerical Integration. P. Keast and G. Fairweather (eds.)., Reidel Publishing Company, 321-328.
The integration of the multivariate normal density function for the triangular method
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