toms462

toms462, a MATLAB code 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.

The text of many ACM TOMS algorithms is available online through ACM: https://calgo.acm.org/ or NETLIB: https://www.netlib.org/toms/index.html.

Usage:

value = bivnor ( ah, ak, r )

computes VALUE, the probability that two variables, X and Y related by a bivariate normal distribution with correlation R, satisfy AH <= X and AK <= Y.

Licensing:

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

Languages:

toms462 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

toms462_test

owen, a MATLAB code which evaluates owen's t function.

prob, a MATLAB code which contains a number of routines for evaluating cumulative distribution functions.

test_values, a MATLAB code which supplies test values of various mathematical functions.

Reference:

1. Thomas Donnelly,
   Algorithm 462: Bivariate Normal Distribution,
   Communications of the ACM,
   October 1973, Volume 16, Number 10, page 638.
2. Donald Owen,
   Tables for Computing Bivariate Normal Probabilities,
   Annals of Mathematical Statistics,
   Volume 27, Number 4, pages 1075-1090, December 1956.

Source Code:

• bivnor.m computes the bivariate CDF.
• bivariate_normal_cdf_values.m, returns some values of the bivariate normal CDF.