A Simple Approximation to the Bivariate Normal Distribution with Large Correlation Coefficient

W. Albers and W. C. M. Kallenberg

Journal of Multivariate Analysis, 1994, vol. 49, issue 1, 87-96

Abstract: The bivariate normal distribution function is approximated with emphasis on situations where the correlation coefficient is large. The high accuracy of the approximation is illustrated by numerical examples. Moreover, exact upper and lower bounds are presented as well as asymptotic results on the error terms.

Date: 1994
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