Bivariate normal integral

Usage

pnorm2(x, y, rho)

Arguments

x a numerical value representing the first coordinate
y a numerical value representing the second coordinate
rho a numerical value representing the correlation; it must be between -1 and 1.

Description

Computes the cumulative distribution function of a bivariate normal distribution with standardized marginals.

Details

The input parameters must be all scalars.

This function is based on function T_Owen.

Value

a numerical value with the required probability

See Also

T_Owen

Examples

p = pnorm2(1.2, 0.5, 0.67)


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