Comparison of algorithms for bivariate normal probability over a rectangle based on self-validated results from interval analysis∗

DOI10.1080/00949659008811290MaRDI QIDQ3135415zbMATH OpenOpenAlexFDO

Authors Morgan C. Wang, W. J. Kennedy

Publication date 7 October 1993

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659008811290

Mathematics Subject Classification ID

Statistical distribution theory (62E99) Probabilistic methods, stochastic differential equations (65C99) Interval and finite arithmetic (65G30)

Cites work

• Adaptive, Self-Validating Numerical Quadrature
• Calculation of univariate and bivariate normal probability functions
• scientific article; zbMATH DE number 3649911 (Why is no real title available?)
• Tables for Computing Bivariate Normal Probabilities

Cited in

(3)

• Computing the noncentral-F distribution and the power of the F-test with guaranteed accuracy
• The bivariate normal copula
• Probability Integrals of the Multivariate t Distribution

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