Computation of Bi‐ and Tri‐Variate Normal Integrals

D. J. Daley

Journal of the Royal Statistical Society Series C, 1974, vol. 23, issue 3, 435-438

Abstract: A simple rule that is effectively an adaptive quadrature technique is shown to be an efficient method of computing the T‐function needed in the Sheppard–Nicholson–Owen formulae for the bivariate normal distribution function Φ2. An extension to the trivariate case is outlined. Other recent algorithms for Φ2 and some new approximations for the T‐function are reviewed.

Date: 1974
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