Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
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.
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2013-03-01
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| Series: | Journal of Statistical Software |
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| Online Access: | http://www.jstatsoft.org/v52/i10/paper |