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st: approximation for binormal a la Gould, et.al.?


From   "Robert Duval" <[email protected]>
To   [email protected]
Subject   st: approximation for binormal a la Gould, et.al.?
Date   Mon, 5 Feb 2007 17:41:26 -0500

Dear friends

In the ml book (Gould, Pitblado and Sribney)  it is mentioned that

1-normal(x) is a poor numerical approximation for Pr(x>a) and instead
they suggest using

normal(-x).

Does anyone knows of a similar expression for the bivariate normal
case giving 1-Pr(x>a,y>b;rho) without using

1-binormal(a,b;rho)

i.e. without using substractions (or additions) that make the
approximation numerically poor.?

Any help would be greatly appreciated.

Robert
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