sn (version 0.33)

pnorm2: Bivariate normal integral

Description

Computes the cumulative distribution function of a bivariate normal distribution with standardized marginals.

Usage

pnorm2(x, y, rho)

Arguments

x

a numerical value representing the first coordinate

y

a numerical value representing the second coordinate

rho

a numerical value representing the correlation; it must be between -1 and 1.

Value

• a numerical value

Details

The input parameters must be all scalars.

This function is based on function T.Owen.

See Also

T.Owen

Examples

p <- pnorm2(1.2, 0.5, 0.67)