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BivariateNormalDistribution

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Returns , the cumulative distribution function of a standard bivariate normal distribution with correlation , calculated using quadrature of a univariate integral as per Drezner and Wesolowsky (1990).

 

The algorithm uses an accelerated convergence approach to improve the accuracy of the calculation of the above integral.

 

Examples of some values of  are shown below:

 

 

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