A Simple Approximation to the Bivariate Normal Distribution with Large Correlation Coefficient
The bivariate normal distribution function is approximated with emphasis on situations where the correlation coefficient is large. The high accuracy of the approximation is illustrated by numerical examples. Moreover, exact upper and lower bounds are presented as well as asymptotic results on the error terms.
Year of publication: |
1994
|
---|---|
Authors: | Albers, W. ; Kallenberg, W. C. M. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 49.1994, 1, p. 87-96
|
Publisher: |
Elsevier |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Albers, W., (1998)
-
THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS
Drost, F. C., (1990)
-
Detecting positive quadrant dependence and positive function dependence
Janic-Wroblewska, A., (2004)
- More ...