Accession Number:

ADA125033

Title:

A Simple Approximation for Bivariate Normal Probabilities

Descriptive Note:

Technical rept.

Corporate Author:

SOUTHERN METHODIST UNIV DALLAS TX DEPT OF STATISTICAL SCIENCE

Personal Author(s):

Report Date:

1982-12-01

Pagination or Media Count:

12.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE