An approximation to bivariate and trivariate normal integrals

作者：Hong HP^*

来源：Civil Engineering and Environmental Systems, 1999, 16(2): 115-127.

DOI：10.1080/02630259908970256

• bivariate normal
• concentrations
• Taylor series
• trivariate normal

A concentration approximation to bivariate and trivariate normal integrals is described. The approximation is compared to that of Olson and Weissfeld [1], Cox and Wermuth [2] and Mendell and Elston [3] for the bivariate and trivariate normal integrals. The method can be extended to higher order normal integrals. The accuracy of the approximation can be further improved without any analytical work.

• 出版日期1999