Phi_2 by Gauss-Legendre quadrature of phi(t) Phi((k - rho t)/sqrt(1 - rho^2)).
Usage
BvNormDist(x, y, mean1 = 0, mean2 = 0, sd1 = 1, sd2 = 1, rho = 0)
Arguments
- x, y
Evaluation point.
- mean1, mean2, sd1, sd2
Marginal parameters.
- rho
Correlation.
References
Owen, D. B. (1956). Annals of Mathematical Statistics 27, 1075-1090.
Examples
BvNormDist(0, 0, rho = 0.5)$cdf
#> [1] 0.3333333
