Computation of the Integral of the Bivariate Normal Distribution Over Convex Polygons

Computation of the Integral of the Bivariate Normal Distribution Over Convex Polygons

A method for computing the integral of the bivariate normal density function over a convex polygon is given. A comparison with two recently published methods is made.

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Veröffentlicht in:SIAM journal on scientific and statistical computing 1980-06, Vol.1 (2), p.179-186
Hauptverfasser: Didonato, A. R., Jarnagin, Jr, M. P., Hageman, R. K.
Format: Artikel
Sprache:eng
Schlagworte:
Coordinate transformations
Cyclones
Normal distribution
Polygons
Probability
Random variables
Weapons
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Beschreibung
Zusammenfassung:A method for computing the integral of the bivariate normal density function over a convex polygon is given. A comparison with two recently published methods is made.
ISSN:0196-5204
1064-8275
2168-3417
1095-7197
DOI:10.1137/0901010