Bivariate Normal

tomasso · September 16th, 2002, 1:42 pm

Can anyone tell me the easiest way to calculate a bivariate normal probability that variable 1 lies in a given range and variable two lies in a given range. I've seen VB code for the cumulative version, i.e.variable 1 less than x, variable 2 less than y, but not for any given range.ThanksTomasso

alkur · September 16th, 2002, 2:31 pm

tomasso,this seems to be quite easy. Denote by p(a,b) the probability that x < a and y < b (you have the code for p(a,b) already)Now the probability that a1 < x < a2 and b1 < y < b2 is calculated as p(a2,b2) - p(a1,b2) - p(a2,b1) + p(a1,b1) [for fixed constant ranges].Is this the thing you've asked about, or smth more complicated ?

tomasso · September 17th, 2002, 9:05 am

Thanks for that AlkurYep it was that easy!Tomasso