Timeline for Percentiles of $Z=\max(X,Y)$, where $X$ and $Y$ are correlated bivariate normal random variables
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
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| Jan 18, 2018 at 18:06 | vote | accept | dimitriy | ||
| Jan 13, 2018 at 8:03 | comment | added | Bjørn Kjos-Hanssen | @AlecosPapadopoulos I didn't know that that's called $\Phi_2$, thanks for the info. | |
| Jan 13, 2018 at 3:15 | comment | added | Alecos Papadopoulos | (+1) This integral equals $\Phi_2 (a,a;\rho)$, i.e. the bivariate cumulative distribution function, where both variables are evaluated at $a$, and having correlation $\rho$. The bivariate normal integral is available as a ready-made special function in almost all software, so there is really no need to go into quadrature ourselves. | |
| Jan 13, 2018 at 0:34 | history | answered | Bjørn Kjos-Hanssen | CC BY-SA 3.0 |