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

DOI10.1080/00949659008811290zbMath0775.65028OpenAlexW2011901339MaRDI QIDQ3135415

W. J. Kennedy, Morgan C. Wang

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

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

Related Items (3)

Computing the noncentral-\(F\) distribution and the power of the \(F\)-test with guaranteed accuracy ⋮ Probability Integrals of the Multivariate t Distribution ⋮ The Bivariate Normal Copula

Cites Work

• Calculation of univariate and bivariate normal probability functions
• Tables for Computing Bivariate Normal Probabilities
• Adaptive, Self-Validating Numerical Quadrature
• Unnamed Item

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