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## umontreal.iro.lecuyer.probdistmulti
Class BiNormalGenzDist

    java.lang.Object
      umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti
          umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim
              umontreal.iro.lecuyer.probdistmulti.BiNormalDist
                  umontreal.iro.lecuyer.probdistmulti.BiNormalGenzDist

    public class BiNormalGenzDist

extends BiNormalDist

Extends the class `BiNormalDist` for the bivariate normal distribution using Genz's algorithm as described in.

Field Summary

Fields inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim
`decPrec`

Constructor Summary
`BiNormalGenzDist(double rho)` Constructs a `BiNormalGenzDist` object with default parameters μ1 = μ2 = 0, σ1 = σ2 = 1 and correlation ρ =`rho`.
`BiNormalGenzDist(double mu1, double sigma1, double mu2, double sigma2, double rho)` Constructs a `BiNormalGenzDist` object with parameters μ1 = `mu1`, μ2 = `mu2`, σ1 = `sigma1`, σ2 = `sigma2` and ρ = `rho`.

Method Summary
`double` | `barF(double x, double y)` .
`static double` | `barF(double x, double y, double rho)`
`static double` | `barF(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)`
`double` | `cdf(double x, double y)` .
`static double` | `cdf(double x, double y, double rho)` Computes the standard binormal distribution with the method described in.
`static double` | `cdf(double mu1, double sigma1, double x, double mu2, double sigma2, double y, double rho)`

Methods inherited from class umontreal.iro.lecuyer.probdistmulti.BiNormalDist
`density, density, density, getCorrelation, getCorrelation, getCovariance, getCovariance, getMean, getMean, getMu1, getMu2, getSigma1, getSigma2`

Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistribution2Dim
`cdf, density`

Methods inherited from class umontreal.iro.lecuyer.probdistmulti.ContinuousDistributionMulti
`getDimension`

Methods inherited from class java.lang.Object
`equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait`

Constructor Detail

### BiNormalGenzDist

    public BiNormalGenzDist(double rho)

  Constructs a `BiNormalGenzDist` object with default parameters μ1 = μ2 = 0, σ1 = σ2 = 1 and correlation ρ =`rho`.

### BiNormalGenzDist

    public BiNormalGenzDist(double mu1,
                            double sigma1,
                            double mu2,
                            double sigma2,
                            double rho)

  Constructs a `BiNormalGenzDist` object with parameters μ1 = `mu1`, μ2 = `mu2`, σ1 = `sigma1`, σ2 = `sigma2` and ρ = `rho`.

Method Detail

### cdf

    public static double cdf(double x,
                             double y,
                             double rho)

  Computes the standard binormal distribution with the method described in. The code for the `cdf` was translated directly from the Matlab code written by Alan Genz and available from his web page at `http://www.math.wsu.edu/faculty/genz/homepage` (the code is copyrighted by Alan Genz and is included in this package with the kind permission of the author). The absolute error is expected to be smaller than 0.5⋅10-15.

### cdf

    public static double cdf(double mu1,
                             double sigma1,
                             double x,
                             double mu2,
                             double sigma2,
                             double y,
                             double rho)

### cdf

    public double cdf(double x,
                      double y)

  Description copied from class: `ContinuousDistribution2Dim`
  . Computes the distribution function F(x, y):

  F(x, y) = P[X <= x, Y <= y] = ∫-∞xds∫-∞ydt f (s, t).

  Overrides:
    `cdf` in class `BiNormalDist`
  Parameters:
    `x` - value x at which the distribution function is evaluated
    `y` - value y at which the distribution function is evaluated
  Returns:
    distribution function evaluated at (x, y)

### barF

    public double barF(double x,
                       double y)

  Description copied from class: `ContinuousDistribution2Dim`
  . Computes the upper cumulative distribution function bar(F)(x, y):

  bar(F)(x, y) = P[X >= x, Y >= y] = ∫∞xds∫∞ydt f (s, t).

  Overrides:
    `barF` in class `BiNormalDist`
  Parameters:
    `x` - value x at which the upper distribution is evaluated
    `y` - value y at which the upper distribution is evaluated
  Returns:
    upper distribution function evaluated at (x, y)

### barF

    public static double barF(double mu1,
                              double sigma1,
                              double x,
                              double mu2,
                              double sigma2,
                              double y,
                              double rho)

### barF

    public static double barF(double x,
                              double y,
                              double rho)

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To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.