Open Access
July, 1979 Calculation of Univariate and Bivariate Normal Probability Functions
D. R. Divgi
Ann. Statist. 7(4): 903-910 (July, 1979). DOI: 10.1214/aos/1176344739
Abstract

Mill's ratio is expressed as a convergent series in orthogonal polynomials. Truncation of the series provides an approximation for the complemented normal distribution function $Q(x)$, with its maximum error at a finite value of $x$. The analogous approximation for $xQ(x)$ is used to obtain a new method of calculating the bivariate normal probability function.

Divgi: Calculation of Univariate and Bivariate Normal Probability Functions
Copyright © 1979 Institute of Mathematical Statistics
D. R. Divgi "Calculation of Univariate and Bivariate Normal Probability Functions," The Annals of Statistics 7(4), 903-910, (July, 1979). https://doi.org/10.1214/aos/1176344739
Published: July, 1979
Vol.7 • No. 4 • July, 1979
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