Calculate probabilities from the CDF of a standard bivariate normal
distribution.
Usage
pbivnorm(x, y, rho = 0, recycle = TRUE)
Arguments
x
vector of upper integration limits for the CDF. May also be a
two-column matrix, in which case y should not be used.
y
vector of upper integration limits.
rho
correlation parameter.
recycle
whether to automatically recycle the vectors x,
y, and rho to conform to whichever is longest. If
FALSE, all three must be the same length.
Details
This function returns values identical to those of biv.nt.prob in the
mnormt package, but is vectorized to reduce the number of Fortran
calls required for computation of many probabilities.
Value
Numeric vector of probabilities.
Author(s)
Fortran code by Alan Genz (see references). R interface by Brenton
Kenkel (brenton.kenkel@gmail.com), based on code from Adelchi
Azzalini's mnormt package.
References
Genz, A. (1992). Numerical Computation of Multivariate Normal
Probabilities. J. Computational and Graphical Statist., 1,
141–149.
Genz, A. (1993). Comparison of methods for the computation of multivariate
normal probabilities. Computing Science and Statistics, 25,
400–405.
x <- rnorm(10)
y <- rnorm(10)
rho <- runif(10)
pbivnorm(x, y, rho)
X <- cbind(x, y)
pbivnorm(X, rho = rho)
## rho can be a single value, unless recycling is disallowed
rho <- runif(1)
pbivnorm(x, y, rho)