A SIMPLE APPROXIMATION TO THE BIVARIATE NORMAL-DISTRIBUTION WITH LARGE CORRELATION-COEFFICIENT

JOURNAL OF MULTIVARIATE ANALYSIS

卷:49

Article

关键词: APPROXIMATE FORMULAS;    ASYMPTOTIC ERROR TERMS;    BIVARIATE NORMAL;    LOWER BOUND;    QUALITY CONTROL;    UPPER BOUND;   

DOI  :  10.1006/jmva.1994.1015

来源: Elsevier

【 摘 要 】

The bivariate normal distribution function is approximated with emphasis on situations where the correlation coefficient is large. The high accuracy of the approximation is illustrated by numerical examples. Moreover, exact upper and lower bounds are presented as well as asymptotic results on the error terms. (C) 1994 Academic Press, Inc.

【 授权许可】

Free