A Simple Approximation for Bivariate Normal Probabilities
SOUTHERN METHODIST UNIV DALLAS TX DEPT OF STATISTICAL SCIENCE
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The bivariate normal distribution function may be expressed as the product of a marginal normal distribution times a conditional distribution. By approximating this conditional distribution, we obtain a simple method for approximating bivariate normal probabilities. When the correlation falls in the interval -5, .5, the maximum absolute error in our approximation is always less than .0008. The conditional distribution that we approximate is referred to as a normal conditioned on a truncated normal distribution and is related to screening and selection problems.
- Statistics and Probability