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BivariateNormalDistribution

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Function Description

Returns , the cumulative distribution function of a standard bivariate normal distribution with correlation , calculated using quadrature of a univariate integral as per Drezner and Wesolowsky (1990).

 

The algorithm uses an accelerated convergence approach to improve the accuracy of the calculation of the above integral.

 

Examples of some values of  are shown below:

 

[SmartChart]

 

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Output type / Parameter details

Output type: Double
Parameter NameVariable TypeDescription
xDoubleFirst coordinate
yDoubleSecond coordinate
rhoDoubleCorrelation of relevant standard bivariate Normal distribution

Links to:

-          Interactively run function

-          Interactive instructions

-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Statistical functions

-          Computation units used


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