|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:: 4360. Submitted: 2010-04-28. Published: 2013-03-11.
Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
This work is licensed under the licenses
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.