A Modification of Owen's Method for Computing the Bi‐Variate Normal Integral

David M. Borth

Journal of the Royal Statistical Society Series C, 1973, vol. 22, issue 1, 82-85

Abstract: A modification of Owen's method is presented for the computer calculation of the bi‐variate normal integral. The modification consists of an improved method for evaluating Owen's T function which considerably reduces the computation time required. Using the modification, Owen's method is a simple, fast and accurate technique for computing the bi‐variate integral for all values of the correlation coefficient and of the limits of integration.

Date: 1973
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