Computation of the trivariate normal integral

Drezner, Zvi

doi:10.1090/S0025-5718-1994-1185242-8

Computation of the trivariate normal integral
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Math. Comp. 62 (1994), 289-294 Request permission

Abstract:

We propose a simple and efficient way to calculate trivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the trivariate probability with respect to a correlation coefficient.

References

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Computation of the multivariate normal integral

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Multivariate normal probabilities with error bound

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Correction to algorithm AS 195

multivariate normal probabilities with error bound

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