AN APPROXIMATION TO BIVARIATE AND TRIVARIATE NORMAL INTEGRALS

Abstract

A concentration approximation to bivariate and trivariate normal integrals is described. The approximation is compared to that of Olson and Weissfeld [1[, Cox and Wermuth [2[ and Mendell and Elston [3[ for the bivariate and trivariate normal integrals. The method can be extended to higher order normal integrals. The accuracy of the approximation can be further improved without any analytical work.

Keywords:

• Bivariate normal
• concentrations
• Taylor series
• trivariate normal

Notes

∗Submitted as a technical note for publication to Civil Engineering Systems.

Additional information

Notes on contributors

H. P. HONG

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