Posted by Don Vaught on July 16, 1998 at 22:23:36:
In Reply to: Re: Bivariate Normal Distribution posted by K. M. Anirudh on February 14, 1998 at 11:51:45:
I noticed you wanted a numerical algorithm for
computing the cdf of a bivariate normal. I found a
method in an article. The reference is:
Z. Drezner, "Computation of the Bivariate Normal
Integral," Mathematics of Computation, 32 (January
1978), P. 277-279.
I first found it in:
John Hull, Options,Futures,and other Derivative
Securities, Prentice Hall, 93.
I hope it works out.
: Richard Allen,
: : I am trying to find an algorithm to calulate
: : accurately the cumulative density function for the
: : bivariate normal distribution. Any ideas?
: What is the difficulty in implementing the old trapezoidal
: rule with very small increment? If you are looking for the
: most efficient one it may not be useful. I used the same
: method recently to integrate the desnsity of a Hotelling's
: density for sample correlation coefficient, primarily
: because I had no reference book in hand that gave me
: the distribution function readymade and it was a week-end.
: My problem was simpler in that it was univariate, but I think
: it can be used for the bivariate case, if you don't
: mind the CPU usage.
: Hope you would find a better solution:-)
: -- Anirudh