Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution

Details Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution

2010-04-21

arxiv.org/abs/1004.3616v1

Mathematics

Numerical Analysis

12 pages, 1 figure

Scientific paper

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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