Bivariate
class BivariateNormalDistribution(val mean1: Double = 0.0, val v1: Double = 1.0, val mean2: Double = 0.0, val v2: Double = 1.0, val corr: Double = 0.0) : MVCDF(source)
Evaluates the cumulative distribution function (CDF) for a bivariate normal distribution over a rectangular region. Uses Alan Genz's Arcsine Transformation for numerical integration and exact analytical overlaps for perfectly correlated edge cases.
Parameters
mean1
mean of the first coordinate
v1
variance of the first coordinate (must be > 0)
mean2
mean of the second coordinate
v2
variance of the second coordinate (must be > 0)
corr
correlation coefficient between the coordinates (must be in -1, 1)