Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution

DOI10.18637/JSS.V052.I10MaRDI QIDQ6218614zbMATH OpenFDO

Authors Christian Meyer

Publication date 21 April 2010

Full work available at URL https://doi.org/10.18637/JSS.V052.I10

Mathematics Subject Classification ID

Algorithms for approximation of functions (65D15)

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.

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