toms462_test


toms462_test, a MATLAB 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 GNU LGPL license.

Related Data and Programs:

toms462, a MATLAB 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:


Last revised on 01 March 2019.