Phixy {MCCM}

Scaled Bivariate Normal Approximation

Description

Standard bivariate normal distribution approximated with Legendre polynomials.

Usage

Phixy(x, y, rho, korder = 3, app = TRUE)

Arguments

x, y

P(X<=x,Y<=y).

rho

correlation coefficient.

korder

order of Legendre approximation.

app

bool value TRUE for approximation, FALSE for integral.

Value

P(X<=x,Y<=y).

Examples

library(mvtnorm)
pmvnorm(upper = c(1,-1),sigma = matrix(c(1,0.5,0.5,1),2,2))
Phixy(1,-1,0.5,2,app=TRUE)
Phixy(1,-1,0.5,app=TRUE)