Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
arXiv:1004.36168 citationsh-index: 3
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This work provides an improved numerical method for statisticians and researchers who need accurate and efficient computation of bivariate normal probabilities.
The paper proposes a new algorithm for evaluating the cumulative bivariate normal distribution that is mathematically transparent, delivers competitive performance, and can be extended to arbitrary precision.
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.