g01haf

Purpose

Synopsis

[fun_value,ifail] = g01haf(x,y,rho<,ifail>)

Description

 
 For the two random variables (X,Y) following a bivariate Normal 
 distribution with:
 
                           2       2
          E[X]=0,E[Y]=0,E[X ]=1,E[Y ]=1 and E[XY]=(rho),
 
 the lower tail probability is defined by:
 
 
                                      y      x        [ 
                            1         /      /        [ 
 P(X<=x,Y<=y:(rho))= ---------------- |      |     exp[-
                             ________ /      /        [ 
                            /       2 -infty -infty   [ 
                     2(pi)\/ 1-(rho)                    
    2           2 ]
  (X -2(rho)XY+Y )]
  ----------------]dXdY
             2    ]
    2(1-(rho) )   ]
                   
 

Parameters

g01haf

Required Input Arguments:

x                                     real
y                                     real
rho                                   real

Optional Input Arguments:                       <Default>

ifail                                 integer  -1

Output Arguments:

ifail                                 integer