Hostname: page-component-586b7cd67f-t7fkt Total loading time: 0 Render date: 2024-11-28T23:11:26.025Z Has data issue: false hasContentIssue false
  • English
  • Français

A Simple Approximation for the Bivariate Normal Integral

Published online by Cambridge University Press:  27 July 2009

Jinn-Tyan Lin
Jinn-Tyan Lin
Affiliation:
Graduate Institute of Statistics and Actuarial Science, Feng Chia University, Taichung, Taiwan, R. O. C.
Get access Rights & Permissions [Opens in a new window]

Abstract

Approximations for the univariate normal integral are employed to develop a simple approximation in terms of elementary functions for the bivariate normal integral. The accuracy of the approximation is quite sufficient for many practical cases.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 9 , Issue 2 , April 1995 , pp. 317 - 321
Copyright
Copyright © Cambridge University Press 1995

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

1.Johnson, N.L. & Kotz, S. (1972). Distributions in statistics: Continuous multivariate distributions. New York: John Wiley & Sons.Google Scholar
2.Lin, J.-T. (1989). Approximating the normal tail probability and its inverse for use on a pocket calculator. Applied Statistics 38: 69–70.CrossRefGoogle Scholar
3.Lin, J.-T. (1990). Pocket-calculator approximation to the normal tail. Probability in the Engineering and Informational Sciences 4: 531–533.CrossRefGoogle Scholar
4.Terza, J.V. & Welland, U. (1991). A comparison of bivariate normal algorithms. Journal of Statistical Computation and Simulation 39: 115–127.Google Scholar
5.Zelen, M.& Severo, N.C. (1960). Graph for bivariate normal probabilities. Annals of Mathematical Statistics 31: 619–624.CrossRefGoogle Scholar