A Simple Approximation to the Bivariate Normal Distribution with Large Correlation Coefficient

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.

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Year of publication:	1994
Authors:	Albers, W. ; Kallenberg, W. C. M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 49.1994, 1, p. 87-96
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153176