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Computation of Bi‐ and Tri‐Variate Normal Integrals

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  • D. J. Daley

Abstract

A simple rule that is effectively an adaptive quadrature technique is shown to be an efficient method of computing the T‐function needed in the Sheppard–Nicholson–Owen formulae for the bivariate normal distribution function Φ2. An extension to the trivariate case is outlined. Other recent algorithms for Φ2 and some new approximations for the T‐function are reviewed.

Suggested Citation

  • D. J. Daley, 1974. "Computation of Bi‐ and Tri‐Variate Normal Integrals," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 23(3), pages 435-438, November.
    • Handle: RePEc:bla:jorssc:v:23:y:1974:i:3:p:435-438
    DOI: 10.2307/2347136
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    Cited by:

    1. Yuge Dong & Qingtong Xie & Shuguang Ding & Liangguo He & Hu Wang, 2022. "The evaluation of bivariate normal probabilities for failure of parallel systems," Statistical Papers, Springer, vol. 63(5), pages 1585-1614, October.

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