Re: Bivariate Normal Distribution

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Posted by K. M. Anirudh on February 14, 1998 at 11:51:45:

In Reply to: Bivariate Normal Distribution posted by Richard Allen on January 08, 1998 at 03:42:37:

Richard Allen,

: I am trying to find an algorithm to calulate
: accurately the cumulative density function for the
: bivariate normal distribution. Any ideas?

What is the difficulty in implementing the old trapezoidal
rule with very small increment? If you are looking for the
most efficient one it may not be useful. I used the same
method recently to integrate the desnsity of a Hotelling's
density for sample correlation coefficient, primarily
because I had no reference book in hand that gave me
the distribution function readymade and it was a week-end.

My problem was simpler in that it was univariate, but I think
it can be used for the bivariate case, if you don't
mind the CPU usage.

Hope you would find a better solution:-)

-- Anirudh

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