Derivatives of the bivariate normal cumulative distribution function

Dbvn(p,design=function(p,...) {
     return(list(mu=cbind(p[1],p[1]),
               dmu=cbind(1,1),
               S=matrix(c(p[2],p[3],p[3],p[4]),ncol=2),
               dS=rbind(c(1,0,0,0),c(0,1,1,0),c(0,0,0,1)))  )},                 
     Y=cbind(0,0))

Arguments

p

Parameter vector

design

Design function with defines mean, derivative of mean, variance, and derivative of variance with respect to the parameter p

Y

column vector where the CDF is evaluated

Author

Klaus K. Holst