APPROXIMATION OF THE CUMULATIVE DISTRIBUTION FUNCTION OF THE BIVARIATE TRUNCATED NORMAL DISTRIBUTION

摘要

The bivariate normal distribution has found many applications in a variety of fields – including some in which values of one or both of the jointly distributed variables are truncated. This paper presents a methodology by which the cumulative distribution function of the bivariate truncated normal distribution may be approximated via summing and averaging procedures. This paper, then, provides selected reference tables and describes an Excel function developed for use by practitioners.