On the computation of the bivariate normal integral
@article{Drezner1990OnTC, title={On the computation of the bivariate normal integral}, author={Zvi Drezner and George O. Wesolowsky}, journal={Journal of Statistical Computation and Simulation}, year={1990}, volume={35}, pages={101-107} }
We propose a simple and efficient way to calculate bivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the bivariate probability with respect to the correlation coefficient.
216 Citations
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