Premium
Computation of Bi‐ and Tri‐Variate Normal Integrals
Author(s) -
Daley D. J.
Publication year - 1974
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347136
Subject(s) - random variate , computation , mathematics , calculus (dental) , computer science , statistics , algorithm , random variable , medicine , dentistry
Summary A simple rule that is effectively an adaptive quadrature technique is shown to be an efficient method of computing the T ‐function needed in the Sheppard–Nicholson–Owen formulae for the bivariate normal distribution function Φ 2 . An extension to the trivariate case is outlined. Other recent algorithms for Φ 2 and some new approximations for the T ‐function are reviewed.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom