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CdfBivariateNormal Method
Evaluates the bivariate normal cumulative probability distribution function.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax
public static double BivariateNormal(
	double x,
	double y,
	double rho
)

Parameters

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

Return Value

Type: Double
The probability that a bivariate normal random variable 
            (X,Y) with correlation rho satisfies X\le{\tt x} and Y\le{\tt y}
            .
Remarks

Let (X,Y) be a bivariate normal variable with mean (0,0) 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

See Also