Standard bivariate normal CDF
Calculate probabilities from the CDF of a standard bivariate normal distribution.
pbivnorm(x, y, rho = 0, recycle = TRUE)
- vector of upper integration limits for the CDF. May also be a
two-column matrix, in which case
yshould not be used.
- vector of upper integration limits.
- correlation parameter.
- whether to automatically recycle the vectors
rhoto conform to whichever is longest. If
FALSE, all three must be the same length.
This function returns values identical to those of
biv.nt.prob in the
mnormt package, but is vectorized to reduce the number of Fortran
calls required for computation of many probabilities.
Numeric vector of probabilities.
Genz, A. (1992). Numerical Computation of Multivariate Normal Probabilities. J. Computational and Graphical Statist., 1, 141--149.
Genz, A. (1993). Comparison of methods for the computation of multivariate normal probabilities. Computing Science and Statistics, 25, 400--405.
Genz, A. Fortran code for
MVTDSTPACK available at
(as of 2011-02-21).
x <- rnorm(10) y <- rnorm(10) rho <- runif(10) pbivnorm(x, y, rho) X <- cbind(x, y) pbivnorm(X, rho = rho) ## rho can be a single value, unless recycling is disallowed rho <- runif(1) pbivnorm(x, y, rho)