COMPUTATION OF THE TRIVARIATE NORMAL INTEGRAL

Authors
DREZNER Z
Citation
Z. Drezner, COMPUTATION OF THE TRIVARIATE NORMAL INTEGRAL, Mathematics of computation, 62(205), 1994, pp. 289-294
Citations number
10
Categorie Soggetti
Mathematics,Mathematics
Journal title
Mathematics of computation → ACNP
ISSN journal
00255718
Volume
62
Issue
205
Year of publication
1994
Pages
289 - 294
Database
ISI
SICI code
0025-5718(1994)62:205<289:COTTNI>2.0.ZU;2-Y
Abstract
We propose a simple and efficient way to calculate trivariate normal p robabilities. The algorithm is based on a formula for the partial deri vative of the trivariate probability with respect to a correlation coe fficient.