pbivnorm
From pbivnorm v0.6.0
by Brenton Kenkel
Standard bivariate normal CDF
Calculate probabilities from the CDF of a standard bivariate normal distribution.
Usage
pbivnorm(x, y, rho = 0, recycle = TRUE)
Arguments
 x
 vector of upper integration limits for the CDF. May also be a
twocolumn matrix, in which case
y
should not be used.  y
 vector of upper integration limits.
 rho
 correlation parameter.
 recycle
 whether to automatically recycle the vectors
x
,y
, andrho
to conform to whichever is longest. IfFALSE
, all three must be the same length.
Details
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.
Value

Numeric vector of probabilities.
References
Genz, A. (1992). Numerical Computation of Multivariate Normal Probabilities. J. Computational and Graphical Statist., 1, 141149.
Genz, A. (1993). Comparison of methods for the computation of multivariate normal probabilities. Computing Science and Statistics, 25, 400405.
Genz, A. Fortran code for MVTDSTPACK
available at
http://www.math.wsu.edu/math/faculty/genz/software/fort77/mvtdstpack.f
(as of 20110221).
Examples
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)
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