A simple approximation to the bivariate normal distribution with large correlation coefficient

DOI10.1006/jmva.1994.1015zbMath0796.62013OpenAlexW1967253241MaRDI QIDQ1323848

Wilbert C. M. Kallenberg, Willem Albers

Publication date: 26 September 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/a-simple-approximation-to-the-bivariate-normal-distribution-with-large-correlation-coefficient(e44602fc-e38b-4724-8190-e7602df41725).html

zbMATH Keywords

numerical examplesbivariate normal distributionexact upper and lower boundsasymptotic results on the error termslarge correlation coefficient

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics in engineering and industry; control charts (62P30) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (5)

Bounds on the Bivariate Normal Distribution Function ⋮ The structure of popular difference sets ⋮ A simple approximation for the bivariate normal integral ⋮ The evaluation of bivariate normal probabilities for failure of parallel systems ⋮ The Bivariate Normal Copula

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