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.

**[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)****[4]**R. R. SOWDEN & J. R. ASHFORD, "Computation of the bivariate normal integral,"*Appl. Statist.*, v. 18, 1969, pp. 169-180. MR**0247690 (40:953)****[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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DOI:
https://doi.org/10.1090/S0025-5718-1978-0461849-9

Article copyright:
© Copyright 1978
American Mathematical Society