1979
DOI: 10.1214/aos/1176344739
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Calculation of Univariate and Bivariate Normal Probability Functions

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Cited by 57 publications
(34 citation statements)
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“…Comme 13 Nous n'allons pas exposer tous les d etails de la loi de 1820. Il faut cependant savoir qu'il y a des cas sp eciaux o u la division en deux cat egories de coll eges n'est pas mise en uvre.…”
Section: Gen Ese Et Contexte Historique De La Loi Du 29 Juin 1820unclassified
See 1 more Smart Citation
“…Comme 13 Nous n'allons pas exposer tous les d etails de la loi de 1820. Il faut cependant savoir qu'il y a des cas sp eciaux o u la division en deux cat egories de coll eges n'est pas mise en uvre.…”
Section: Gen Ese Et Contexte Historique De La Loi Du 29 Juin 1820unclassified
“…Une importante litt erature statistique est consacr ee au calcul exact ou approch e de ces probabilit es (Divgi (1979), Gupta (1963a,b), Owen (1956), Plackett (1965), Wang (1987)). Consid erons une gaussienne bivari ee normalis ee de matrice = 1 1 ; c'est-a-dire d ecrite par la densit e :…”
Section: Appendice 7 : Probabilit Es Gaussiennes D'orthantunclassified
“…Terza and Welland (1991) provided a comparison, which reviewed several numerical modifications of Owen's method published between 1973 to 1987. They concluded that Divgi's (1979) approximation is "the method of choice. "…”
Section: Literature Reviewmentioning
confidence: 99%
“…Divgi [7] obtainedρ using an efficient method [7,8] for Φ(x, y, ρ), and the Newton-Raphson iteration forρ, where the initial value is the one reported in [7], and for obtaining Φ −1 (·) (the inverse function of the standard normal cumulative distribution function) the method proposed by Odeh and Evans [9] is used. Terza and Welland [10] performed a comparative study on the various methods to obtain Φ(x, y, ρ), including Divgi [8]. Their results showed that Divgi's [8] method was the best among the methods compared.…”
Section: Introductionmentioning
confidence: 99%
“…Terza and Welland [10] performed a comparative study on the various methods to obtain Φ(x, y, ρ), including Divgi [8]. Their results showed that Divgi's [8] method was the best among the methods compared. Monahan [11,12] developed a Fortran95 program BVNRML to obtain Φ(x, y, ρ) using Divgi's [8] method and a similar program using Drezner's [13] method.…”
Section: Introductionmentioning
confidence: 99%