Abramowitz M and Stegun I A (1972) Handbook of Mathematical Functions (3rd Edition) Dover Publications
Genz A (2004) Numerical computation of rectangular bivariate and trivariate Normal and probabilities Statistics and Computing14 151–160
Kendall M G and Stuart A (1969) The Advanced Theory of Statistics (Volume 1) (3rd Edition) Griffin
1: – Real (Kind=nag_wp)Input
On entry: , the first argument for which the bivariate Normal distribution function is to be evaluated.
2: – Real (Kind=nag_wp)Input
On entry: , the second argument for which the bivariate Normal distribution function is to be evaluated.
3: – Real (Kind=nag_wp)Input
On entry: , the correlation coefficient.
4: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
On entry, .
On entry, .
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
Accuracy of the hybrid algorithm implemented here is discussed in Genz (2004). This algorithm should give a maximum absolute error of less than .
8Parallelism and Performance
g01haf makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
The probabilities for the univariate Normal distribution can be computed using s15abfands15acf.
This example reads values of and for a bivariate Normal distribution along with the value of and computes the lower tail probabilities.