Cdf.BivariateNormal Method

Evaluates the bivariate normal cumulative probability distribution function.

public static double BivariateNormal(
   double x,
   double y,
   double rho
);

x: is the x-coordinate of the point for which the bivariate normal distribution function is to be evaluated.
y: is the y-coordinate of the point for which the bivariate normal distribution function is to be evaluated.
rho: is the correlation coefficient.

the probability that a bivariate normal random variable with correlation rho satisfies $X \le {\tt x}$ and $Y \le {\tt y}$ .

Let be a bivariate normal variable with mean and variance-covariance matrix

$\left[ \begin{array}{cc} 1 & \rho \\ \rho & 1\end{array}\right]$

This method computes the probability that $X \le {\tt x}$ and $Y \le {\tt y}$ .

Plot of Bivariate Normal Distribution Function