Computation of the trivariate normal integral

Zvi Drezner

Source record

Source: Crossref

Published: Jan 1, 1994

DOI: 10.1090/s0025-5718-1994-1185242-8

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Source abstract

We propose a simple and efficient way to calculate trivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the trivariate probability with respect to a correlation coefficient.

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