IMSL_BINORMALCDF

The IMSL_BINORMALCDF function evaluates the bivariate normal distribution function.

Note: This routine requires an IDL Analyst license. For more information, contact your Exelis VIS sales or technical support representative.

The IMSL_BINORMALCDF function evaluates the distribution function F of a bivariate normal distribution with means of zero, variances of 1, and correlation of rho; that is, ρ = rho and |ρ| < 1.

To determine the probability that U ≤ u₀ and V ≤ v₀, where (U, V) is a bivariate normal random variable with mean µ = (µ_U, µ_V) and the following variance-covariance matrix:

transform (U, V)^T to a vector with zero means and unit variances. The input to IMSL_BINORMALCDF would be as follows:

,

,

and

The IMSL_BINORMALCDF function uses the method of Owen (1962, 1965). For |ρ| = 1, the distribution function is computed based on the univariate statistic Z = min(x, y) and on the normal distribution IMSL_NORMALCDF.

Examples

Example 1

Suppose (x, y) is a bivariate normal random variable with mean (0, 0) and the following variance-covariance matrix:

This example finds the probability that x is less than –2.0 and y is less than 0.0.

x = -2

y = 0

rho = .9

; Define x, y, and rho.

p = IMSL_BINORMALCDF(x, y, rho)

; Call IMSL_BINORMALCDF and output the results.

PM, 'P((x < -2.0) and (y < 0.0)) = ', p, FORMAT = '(a29, f8.4)'

P((x < -2.0) and (y < 0.0)) = 0.0228

Syntax

Result = IMSL_BINORMALCDF(x, y, rho [, /DOUBLE])

Return Value

The probability that a bivariate normal random variable with correlation rho takes a value less than or equal to x and less than or equal to y.

Arguments

rho

Correlation coefficient.

x

The x-coordinate of the point for which the bivariate normal distribution function is to be evaluated.

y

The y-coordinate of the point for which the bivariate normal distribution function is to be evaluated.

Keywords

DOUBLE

If present and nonzero, double precision is used.

Version History

See Also