Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
Year: 2013
Type: article
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 delivers competitive performance and can easily be extended to arbitrary precision.
Source: Journal of Statistical Software
Author: Christian Meyer
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: diamond
OpenAlex ID: W2104437671