Computation of the bivariate normal integral-Reference-Cited by-同舟云学术

Computation of the bivariate normal integral

Published:1978 Issue:141 Volume:32 Page:277-279
ISSN:0025-5718
Container-title:Mathematics of Computation
language:en
Short-container-title:Math. Comp.

Author:

Drezner Z.

Abstract

This paper presents a simple and efficient computation for the bivariate normal integral based on direct computation of the double integral by the Gauss quadrature method.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,Computational Mathematics,Algebra and Number Theory

Link

http://www.ams.org/mcom/1978-32-141/S0025-5718-1978-0461849-9/S0025-5718-1978-0461849-9.pdf

Reference6 articles.

1. Wiley Series in Probability and Mathematical Statistics;Johnson, Norman L.,1972

2. Gaussian quadratures for the integrals ₀^{∞}𝑒𝑥𝑝(-𝑥²)𝑓(𝑥)𝑑𝑥 and ₀^{𝑏}𝑒𝑥𝑝(-𝑥²)𝑓(𝑥)𝑑𝑥;Steen, N. M.;Math. Comp.,1969

3. Computation of the bi-variate normal integral;Sowden, R. R.;J. Roy. Statist. Soc. Ser. C,1969

4. On computation of the bivariate normal distribution;Amos, D. E.;Math. Comp.,1969

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