Evaluating the Multivariate Normal Integral Over a Rectangular Region When the Correlation Matrix Has Only One Common Factor

Author(s):: Lord, Frederic M.
Publication Year:: 1957
Report Number:: RB-57-12
Source:: ETS Research Bulletin
Document Type:: Report
Page Count:: 4
Subject/Key Words:: Correlation, Factor Analysis, Mathematical Formulas, Matrices

Abstract

An integral is reduced to a convenient form for evaluation by quadrature, in a special case where the correlation matrix has only one common factor.