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