A Simple Approximation for Bivariate Normal Probabilities
作者:
MeeRobert W.,
OwenD. B.,
期刊:
Journal of Quality Technology
(Taylor Available online 1983)
卷期:
Volume 15,
issue 2
页码: 72-75
ISSN:0022-4065
年代: 1983
DOI:10.1080/00224065.1983.11978848
出版商: Taylor&Francis
关键词: Approximation;Bivariate Normal Distribution;Screening
数据来源: Taylor
摘要:
The bivariate normal distribution function may be expressed as the product of a marginal normal distribution times a conditional distribution. By approximating this conditional distribution, we obtain a simple method for approximating bivariate normal probabilities. When the correlation falls in the interval [–0.5, 0.5], the maximum absolute error in our approximation is always less than 0.0008. The conditional distribution that we approximate is referred to as a‘normal conditioned on a truncated normal’distribution and is related to screening problems.
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