Recursive Numerical Evaluation of the Cumulative Bivariate Normal Distribution
arXiv:1004.3616 · doi:10.18637/jss.v052.i10
Abstract
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.
12 pages, 1 figure