On the computation of the bivariate normal integral
- 1 March 1990
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 35 (1-2) , 101-107
- https://doi.org/10.1080/00949659008811236
Abstract
We propose a simple and efficient way to calculate bivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the bivariate probability with respect to the correlation coefficient.Keywords
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