Dear R helpers
I am working on the Bi-variate Normal distribution probabilities. I need to
double integrate the following function (actually simplified form of bivariate
normal distribution)
f(x, y) = exp [ - 0.549451 * (x^2 + y^2 - 0.6 * x * y) ]
where 2.696 < x < 3.54 and -1.51 < y < 1.98
I need to solve something like
INTEGRATE (2.696 to 3.54) dx INTEGRATE [(-1.51 to 1.98)] f(x, y) dy
I have referred to stats::integrate but it deals with only one variable.
This example appears in Internal Credit Risk Model by Michael Ong (page no.
160).
Kindly guide.
Regards
Sarah
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