INEQUALITIES FOR CORRELATED BIVARIATE NORMAL DISTRIBUTION FUNCTION

Abstract

We establish several such new inequalities that improve the accuracy of bounding the probability content of bivariate normal distribution function by the Slepian's inequalities. Apart from the improvement of the accuracy, their easy–to–compute form is another attractive feature of these new inequalities which fact is of considerable interest for both theoretical and practical applications. A novel application possibility is mentioned, too.