Re: Bivariate Normal Distribution

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Posted by Hwal W. Park on April 13, 1998 at 21:26:06:

In Reply to: Re: Bivariate Normal Distribution posted by K. M. Anirudh on February 14, 1998 at 11:51:45:

I created a visual basic program which you can
run on MS Excel that gives you accuracy up
to 5 decimal points usingZ. Drezner' paper.
If you want I can give you the source code.

H. Park
: 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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