Computation of the trivariate normal integral
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- by Zvi Drezner PDF
- 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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Additional Information
- © Copyright 1994 American Mathematical Society
- 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