toms462_test

toms462_test, a MATLAB program which calls toms462() to evaluate the upper right tail of the bivariate normal distribution; that is, the probability that normal variables X and Y with correlation R will satisfy H <= X and K <= Y.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Related Data and Programs:

toms462, a MATLAB library which evaluates the upper right tail of the bivariate normal Probability Density Function (PDF); that is, the probability that normal variables X and Y with correlation R will satisfy H <= X and K <= Y; this is a version of ACM TOMS algorithm 462.

Source Code:

• toms462_test.m, calls all the tests.
• toms462_test.sh, runs all the tests.
• toms462_test.txt, the output file.

• toms462_test01.m, makes a quick check against data accurate to three digits.
• toms462_test02.m, compares the computation to a set of tabulated data.