featuregood first issuenew function
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Description
Summary:
Add a function to compute the bivariate normal cdf.
Description:
For size 2 vectors y and mu and 2 x 2 covariance matrix Sigma, compute
bivar_normal_cdf(y, mu, Sigma)
= INT_{u < y} multinormal_pdf(u, mu, Sigma) d.u
where u is also a 2-vector and u < y is defined componentwise as u[1] < y[1] && u[2] < y[2].
There could also be a parameterization where covariance is given in terms of two scale parameters and a correlation parameter.
Additional Info:
This paper is often cited for an algorithm:
- Boys, R.J., 1989. Algorithm AS R80: A remark on Algorithm AS 76: An integral useful in calculating noncentral t and bivariate normal probabilities. Journal of the Royal Statistical Society. Series C (Applied Statistics), 38(3), pp.580-582. https://www.jstor.org/stable/2347755
Current Version:
v2.16.0