Computation method for the Bivariate Normal CDF
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Good afternoon, Guardians of gretl.
Can you please tell me which approximation method is used for the
computation of the Bivariate Normal CDF in the cdf(D, rho, z1, z2) function?
Thanks.
--
Alecos Papadopoulos PhD
Athens University of Economics and Business
web: alecospapadopoulos.wordpress.com/
skype:alecos.papadopoulos
On Mon, 23 Mar 2020, Alecos Papadopoulos wrote:
Good afternoon, Guardians of gretl.
Can you please tell me which approximation method is used for the computation
of the Bivariate Normal CDF in the cdf(D, rho, z1, z2) function?
It's based on Fortran code by Alan Genz, as in
http://www.math.wsu.edu/faculty/genz/software/fort77/tvpack.f
translated to C.
The algorithm is from Drezner and Wesolowsky (1989), 'On the
Computation of the Bivariate Normal Integral', Journal of
Statistical Computation and Simulation, 35, pp. 101-107, with major
modifications for double precision, and for |rho| close to 1.
See gretl_normal.c in the gretl source tree.
Allin
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