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While Gaussian probability densities are omnipresent in applied mathematics, Gaussian cumulative probabilities are hard to calculate in any but the univariate case.
A reduction formula for normal multivariate integrals
R. L. Plackett · 1954
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Rational Chebyshev approximations for the error function
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Multi-variate probit analysis
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H. Niederreiter · 1972
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Randomization of number theoretic methods for multiple integration
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On the use of simulated frequencies to approximate choice probabilities
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Likelihood inference in a correlated probit regression model
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Algorithm as 195: Multivariate normal probabilities with error bound
M. J. Shervish · 1984
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An analysis of the health and retirement status of the elderly
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Simulation and the asymptotics of optimization estimators
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Elements of Information Theory
T. M. Cover and J. A. Thomas · 1991
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Multivariate probit analysis: a neglected procedure in medical statistics
E. Lesaffre and G. Molenberghs · 1991
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Approximations to multivariate normal rectangle probabilities based on conditional expectations
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High-dimensional multivariate probit analysis
R. D. Bock and R. D. Gibbons · 1996
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Computational investigations of Bayesian maximum entropy spatiotemporal mapping
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Numerical computation of multivariate t probabilities with application to power calculation of multiple contrasts
A. Genz and F. Brentz · 1999
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The asymptotic efficiency of randomized nets for quadrature
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Numerical evaluation of singular multivariate normal distributions
Pricing options using lattice rules
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Unbiased recursive partitioning: A conditional inference framework
T. Hothorn, K. Hornik, A. Zeileis, and W. Wien · 2005
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Assessing approximate inference for binary Gaussian process classification
M. Kuss and C.E. Rasmussen · 2005
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Divergence measures and message passing
T. P. Minka · 2005
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Comparison of numerical algorithms for bivariate sequential tests based on marginal criteria
Y. Zhao, P. M. Grambsch, and J. D. Neaton · 2005
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Pattern Recognition and Machine Learning
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Computing multivariate normal probabilities: A new look
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R. Herbrich · 2002
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M. Seeger · 2003
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TrueSkillTM: A Bayesian skill rating system
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Quadratically gated mixture of experts for incomplete data classification
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EP: a quick reference
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Expectation progapation for exponential families
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Graphical models, exponential families, and variational inference
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Information Theory, Inference, and Learning Algorithms
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Estimation of multivariate probit models by exact maximum likelihood
J. Huguenin, F. Pelgrin, and A. Holly · 2009
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Probabilistic Graphical Models: Principles and Techniques
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Matchbox: large scale online Bayesian recommendations
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Elliptical slice sampling
I Murray, R. P. Adams, and D. J. C. MacKay · 2010
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Covariances of zero crossings in Gaussian processes
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