Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
Numerical Analysis
2018-09-19 v1 Computation
Abstract
We propose an algorithm for evaluation of the cumulative bivariate normal distribution, building upon Marsaglia's ideas for evaluation of the cumulative univariate normal distribution. The algorithm is mathematically transparent, delivers competitive performance and can easily be extended to arbitrary precision.
Cite
@article{arxiv.1004.3616,
title = {Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution},
author = {Christian Meyer},
journal= {arXiv preprint arXiv:1004.3616},
year = {2018}
}
Comments
12 pages, 1 figure