Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution

Christian Meyer

Journal of Statistical Software, 2013, vol. 052, issue i10

Abstract: We propose an algorithm for evaluation of the cumulative bivariate normal distribution, building upon Marsaglia's ideas for evaluation of the cumulative univariate normal distribution. The algorithm delivers competitive performance and can easily be extended to arbitrary precision.

Date: 2013-03-11
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.jstatsoft.org/index.php/jss/article/view/v052i10/v52i10.pdf
https://www.jstatsoft.org/index.php/jss/article/do ... 10/bivnormaltest.zip

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:052:i10

DOI: 10.18637/jss.v052.i10

Access Statistics for this article

Journal of Statistical Software is currently edited by Bettina Grün, Edzer Pebesma and Achim Zeileis

More articles in Journal of Statistical Software from Foundation for Open Access Statistics
Bibliographic data for series maintained by Christopher F. Baum ().