qBiNormal: bivariate normal CDF

In exametrika: Test Theory Analysis and Biclustering

bivariate normal CDF

Description

Calculates the cumulative distribution function (CDF) of a bivariate normal distribution. This function computes P(X <= a, Y <= b) where X and Y follow a bivariate normal distribution with correlation coefficient rho.

Usage

qBiNormal(a, b, rho)

Arguments

a	Numeric value, the upper limit for the first variable.
b	Numeric value, the upper limit for the second variable.
rho	Numeric value between -1 and 1, the correlation coefficient.

Details

The implementation uses numerical integration with Gauss-Legendre quadrature for accurate computation. Special cases for infinite bounds are handled separately.

Value

The probability P(X <= a, Y <= b), a value between 0 and 1.

exametrika documentation built on Aug. 21, 2025, 5:27 p.m.