Numerical computation of rectangular bivariate and trivariate normal and t probabilities

Test results are provided, along with recommendations for the most efficient algorithms for single and double precision computations, and a generalization of Plackett's formula is derived for bivariate and trivariate t probabilities.

Abstract

Algorithms for the computation of bivariate and trivariate normal and t probabilities for rectangles are reviewed. The algorithms use numerical integration to approximate transformed probability distribution integrals. A generalization of Plackett's formula is derived for bivariate and trivariate t probabilities. New methods are described for the numerical computation of bivariate and trivariate t probabilities. Test results are provided, along with recommendations for the most efficient algorithms for single and double precision computations.