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A Simple Approximation for the Bivariate Normal Integral

Published online by Cambridge University Press:  27 July 2009

Jinn-Tyan Lin
Jinn-Tyan Lin
Affiliation:
Graduate Institute of Statistics and Actuarial Science, Feng Chia University, Taichung, Taiwan, R. O. C.
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Abstract

Approximations for the univariate normal integral are employed to develop a simple approximation in terms of elementary functions for the bivariate normal integral. The accuracy of the approximation is quite sufficient for many practical cases.

Information

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 9 , Issue 2 , April 1995 , pp. 317 - 321
Copyright
Copyright © Cambridge University Press 1995

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References

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