PYTHAGORAS : Jurnal Matematika dan Pendidikan Matematika
Document Type
Article
Abstract
Menghitung nilai probabilitas variabel random yang mempunyai distribusi multivariat normal, merupakan salah satu kendala dalam model probit. Persamaan probabilitas dalam model probit tidak berbentuk persamaan tertutup dan harus diselesaikan secara numerik maupun simulasi. Metode Gezn merupakan metode yang paling efektif untuk menghitung nilai probabilitas normal multivariat. Metode ini banyak diimplementasikan dalam beberapa "package" pada program R. Metode ini juga telah diimplementasikan dalam model multinomial probit yang populer disebut dengan simulator Geweke-Hajivassiliou-Keane (GHK).
Kata kunci : model multinomial probit, faktor Cholesky, random utiliti, deret Taylor
Page Range
1-14
Issue
2
Volume
3
Digital Object Identifier (DOI)
10.21831/pg.v3i2.650
Source
https://journal.uny.ac.id/index.php/pythagoras/article/view/650
Recommended Citation
Nugraha, J. (2007). MENGHITUNG NILAI PROBABILITAS PADA DISTRIBUSI NORMAL MULTIVARIATE. PYTHAGORAS : Jurnal Matematika dan Pendidikan Matematika, 3(2), 1-14. https://doi.org/10.21831/pg.v3i2.650
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