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Computation of the trivariate normal integral


Author: Zvi Drezner
Journal: Math. Comp. 62 (1994), 289-294
MSC: Primary 65D30; Secondary 65U05
DOI: https://doi.org/10.1090/S0025-5718-1994-1185242-8
MathSciNet review: 1185242
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Abstract | References | Similar Articles | Additional Information

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

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Additional Information

DOI: https://doi.org/10.1090/S0025-5718-1994-1185242-8
Keywords: Trivariate normal, multivariate normal, computation
Article copyright: © Copyright 1994 American Mathematical Society

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