toms462_test

toms462_test, a C++ code which calls toms462(), which evaluates the upper right tail of the bivariate normal distribution; that is, the probability that normal variables X and Y with correlation R will satisfy H <= X and K <= Y.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Related Data and Programs:

toms462, a C++ code which evaluates the upper right tail of the bivariate normal Probability Density Function (PDF); that is, the probability that normal variables X and Y with correlation R will satisfy H <= X and K <= Y; this is a version of ACM TOMS algorithm 462.

Source Code:

• toms462_test.cpp, a sample calling program.
• toms462_test.sh, runs all the tests.
• toms462_test.txt, the output from a run of the sample program.