Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution | Meyer | Journal of Statistical Software
Authors: Christian Meyer
Title: Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
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.

Page views:: 3617. Submitted: 2010-04-28. Published: 2013-03-11.
Paper: Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution     Download PDF (Downloads: 4313)
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bivnormaltest.zip: C++ source code Download (Downloads: 369; 182KB)

DOI: 10.18637/jss.v052.i10

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.