A simple approximation to the bivariate normal distribution with large correlation coefficient

Willem Albers; Wilbert C.M. Kallenberg

doi:10.1006/jmva.1994.1015

A simple approximation to the bivariate normal distribution with large correlation coefficient

Willem Albers, Wilbert C.M. Kallenberg

Research output: Contribution to journal › Article › Academic › peer-review

13 Citations (Scopus)

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Abstract

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.

Original language	English
Pages (from-to)	87-96
Number of pages	10
Journal	Journal of multivariate analysis
Volume	49
Issue number	1
DOIs	https://doi.org/10.1006/jmva.1994.1015
Publication status	Published - 1994

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Albers94simpleFinal published version, 307 KBLicence: Other

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A simple approximation to the bivariate normal distribution with large correlation coefficient
Albers, W. & Kallenberg, W. C. M., 1991, Enschede: University of Twente. 15 p. (Memorandum; no. 1011)
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A simple approximation to the bivariate normal distribution with large correlation coefficient

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A simple approximation to the bivariate normal distribution with large correlation coefficient

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