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Computation of the bivariate normal integral


Author: Z. Drezner
Journal: Math. Comp. 32 (1978), 277-279
MSC: Primary 65D20; Secondary 33A20
DOI: https://doi.org/10.1090/S0025-5718-1978-0461849-9
MathSciNet review: 0461849
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Abstract | References | Similar Articles | Additional Information

Abstract: This paper presents a simple and efficient computation for the bivariate normal integral based on direct computation of the double integral by the Gauss quadrature method.


References [Enhancements On Off] (What's this?)

  • [1] NORMAN L. JOHNSON & SAMUEL KOTZ, Distribution in Statistics: Continuous Multivariate Distributions, Wiley, New York, 1972, pp. 93-96. MR 0418337 (54:6378)
  • [2] A. H. STROUD & D. SECREST, Gaussian Quadrature Formulas, Prentice-Hall, Englewood Cliffs, N. J., 1966. MR 0202312 (34:2185)
  • [3] N. M. STEEN, G. O. BYRNE & E. M. GELBARD, "Gaussian Quadratures," Math. Comp., v. 23, 1969, pp. 661-671. MR 0247744 (40:1005)
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  • [5] D. E. AMOS, "On computation of the bivariate normal distribution," Math. Comp., v. 23, 1969, pp. 655-659. MR 0247733 (40:996)
  • [6] Y. L. LUKE, Mathematical Functions and Their Approximations, Academic Press, New York, 1975, pp. 123-124. MR 0501762 (58:19039)

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Additional Information

DOI: https://doi.org/10.1090/S0025-5718-1978-0461849-9
Article copyright: © Copyright 1978 American Mathematical Society

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