Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
The computation of Gaussian orthant probabilities has been extensively studied for low-dimensional vectors. Here, we focus on the high-dimensional case and we present a two-step procedure relying on both deterministic and stochastic techniques. The proposed estimator relies indeed on splitting the probability into a low-dimensional term and a remainder. While …