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A Modification of Owen's Method for Computing the Bi‐Variate Normal Integral

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  • David M. Borth

Abstract

A modification of Owen's method is presented for the computer calculation of the bi‐variate normal integral. The modification consists of an improved method for evaluating Owen's T function which considerably reduces the computation time required. Using the modification, Owen's method is a simple, fast and accurate technique for computing the bi‐variate integral for all values of the correlation coefficient and of the limits of integration.

Suggested Citation

  • David M. Borth, 1973. "A Modification of Owen's Method for Computing the Bi‐Variate Normal Integral," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(1), pages 82-85, March.
    • Handle: RePEc:bla:jorssc:v:22:y:1973:i:1:p:82-85
    DOI: 10.2307/2346306
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