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.

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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