| Title:
|
On evaluation of some two-dimensional normal probabilities (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
19 |
| Issue:
|
1 |
| Year:
|
1974 |
| Pages:
|
28-35 |
| Summary lang:
|
English |
| Summary lang:
|
Czech |
| . |
| Category:
|
math |
| . |
| Summary:
|
Let $P_r\{.\}$ be the probability measure corresponding to a two-dimensional normal distribution with zero means, unit variances and the correlation coefficient $r$. A method for numerical evaluation of the probabilities $P_r\{(-a,a)\times (-a,a)\}$ and $P_r\{(-\infty,a)\times (-\infty,a)\}$ is suggested in the paper, which is particularly advantageous when $r$ is near to 1 or -1. () |
| MSC:
|
60E05 |
| MSC:
|
62E10 |
| MSC:
|
62E99 |
| MSC:
|
62H99 |
| idZBL:
|
Zbl 0294.62016 |
| idMR:
|
MR0343476 |
| DOI:
|
10.21136/AM.1974.103511 |
| . |
| Date available:
|
2008-05-20T17:58:03Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/103511 |
| . |
| Reference:
|
[1] Anděl J. (1971): On multiple normal probabilities of rectangles.Aplikace matematiky 16, 172-181. MR 0285061 |
| Reference:
|
[2] Cramér H., Leadbetter M. R. (1967): Stationary and related stochastic processes.Wiley, New York. MR 0217860 |
| Reference:
|
[3] Smirnov N. V., Bolšev L. N. (1962): Tablicy dlja vyčislenija funkcii dvumernogo normalnogo raspredelenija.Izd. Akademii nauk SSSR. MR 0150925 |
| . |
