CALCULATION OF CIRCULAR PROBABILITY REGIONS FOR THE BIVARIATE NORMAL DISTRIBUTION

Authors
  1. Boyd, J.S.
Corporate Authors
Operational Research and Analysis Establishment, Ottawa ONT (CAN) Directorate of Mathematics and Statistics
Abstract
Given a bivariate normal distribution, it is desired to find the radius R of a circle, centered at the mean, which contains a specified probability P. In the general case (unequal standard deviations), elementary analytical methods do not yield a solution and numerical techniques are required. The paper discusses the development of a formula to approximate R. An exact solution for an elliptical probability region is also found; a comparison to the circular case is made, using enclosed area as a measure of efficiency.
Report Number
ORAE-DLOR-STAFF-NOTE-88/7 — Staff Note
Date of publication
15 Sep 1988
Number of Pages
36
DSTKIM No
89-02078
CANDIS No
59989
Format(s):
Hardcopy;Originator's fiche received by DSIS

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