Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
classification
🧮 math.NA
cs.NAstat.CO
keywords
cumulativedistributionevaluationnormalalgorithmbivariatearbitrarybuilding
read the original abstract
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 is mathematically transparent, delivers competitive performance and can easily be extended to arbitrary precision.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.