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Communications in Statistics - Simulation and

Computation
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A table of normal integrals

a
D. B. Owen
a
Southern Methodist University Dallas , Texas, 75275
Published online: 27 Jun 2007.

To cite this article: D. B. Owen (1980) A table of normal integrals, Communications in Statistics - Simulation and
Computation, 9:4, 389-419

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 COMMUN. STATIST.-SIMULA. COMPUTA., B9(4), 389-419 (1980)

A TABLE OF NORMAL INTEGRALS

D . B . Owen

Southern liethodist University

D a l l a s , Texas 75275

Key Words & P h r a s e s : b i v a r i d t e normal p r o b a b i l i t i e s ; m u l t i v a r i a t e

normal p r o b a b i l i t i e s ; T ( h , a ) and S ( h , a , b ) f u n c t i o n s ; non-
c e n t r a l t - d i s t r i b u t i o n ; i n t e g r a t i o n formulas.
Downloaded by [Universitaets und Landesbibliothek] at 10:47 14 November 2013

ABSTRACT

I n t e g r a l s of f u n c t i o n s of t h e u n i v a r i a t e , b i v a r i a t e , t r i v a r i -
a t e and m u l t i v a r i a t e normal d e n s i t i e s a r e g i v e n . Both i n d e f i n i t e
and d e f i n i t e i n t e g r a l s a r e i n c l u d e d .

INTRODUCTION

A c o l l e c t i o n h a s been made of i n t e g r a l s r e l a t e d t o t h e normal

d e n s i t y , b o t h u n i v a r i a t e and m u l t i v a r i a t e . Most of them c a n b e
o b t a i n e d by i n t e g r a t i o n by p a r t s and o t h e r w e l l known i n t e g r a t i o n
techniques. However, when f a c e d w i t h a new i n t e g r a l t h e i n d i v i d -
u a l o f t e n h a s t o spend more t i m e t h a n h e would l i k e t o spend i n
d i s c o v e r i n g which t e c h n i q u e w i l l d e l i v e r t h e i n t e g r a t i o n h e n e e d s .
T h i s t a b l e h a s been used by s e v e r a l g r a d u a t e s t u d e n t s t o t h e i r
advantage. T h e r e i s a good d e a l of redundancy i n c l u d e d s i n c e i t
h a s been found e a s i e r f o r t h e u s e r i n t h i s form.

Copyright @ 1980 by Marcel Dekker, Inc.

 39 0 OWEN

Obviously t h e r e a r e many more i n t e g r a l s which c o u l d be added

to this list. This journal w i l l publish i n t e r e s t i n g additions t o
t h i s l i s t and c o r r i g e n d a i n t h e minicommunication s e c t i o n . New r e -
s u l t s should b e typed u s i n g t h e same n o t a t i o n and f o r m a t a s t h e
acconpanying t a b l e s . Proof of t h e r e s u l t s should a l s o b e f o r -
warded t o t h e e d i t o r , b u t w i l l n o t b e p u b l i s h e d .
The f o l l o w i n g n o t a t i o n i s adopted h e r e f o r t h e u r i i v a r i a t e
normal d e n s i t y
2
1 -x 12
G'(x) = -e for -m < x < i-
JZ;;
and cummulative,
X
G(x) = I G 1 ( t ) d t , where
-m
-= < x < i-.

I n a d d i t i o n we w i l l u s e t h e n o t a t i o n
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where -- < h, k < i- and -1 < p < 1 f o r t h e b i v a r i a t e normal

cumulative .
Similarly,

2 2 2
exp
2

+2A
(A
-
x +A x +A x +2A x x +2A x x
111 2 2 2 3 3 3

x x dx dx dx
1 2 1 2 1 3 1 3

23231 1 2 3
where

2
A33 = (1-P 12) / A A23 a ( P ~ ~ P ~/ A ~ - P ~ ~ )

2 2 with-m<hl, h 2 , h3 < i-
A = l -
P12 - '13 - :3' + 2P12P23P13'
-1 < p 1 2 , ~ 1 3 , ~ 2 3 < 1 and A > 0 f o r t h e t r i v a r i a t e normal d i s t r i b u t i o n .
 TABLE OF NORMAL INTEGRALS

Note t h a t t h e c o n d i t i o n A > 0 i m p l i e s t h a t

L
and i f p Z 3 = p13 = p then 2p -1 < p12 < 1.

~ u l t i v a r i a t e normal c u m u l a t i v e we w i l l u s e t h e n o t a t i o n
For t h m

1
-n/2 % hn hn-l
~ ~ ( h h h~ ;, ...
13
. = 2 A / /
-m -m
...,fhle--xTAx
-m
2 dxl.. .dx n

where x ' i s a n n-dimensional v e c t o r and A i s t h e nxn i n v e r s e of t h e

c o r r e l a t i o n m a t r i x w i t h elements p . . .
13
Some d e r i v e d f u n c t i o n s which w i l l be needed a r e :

a G ' ( h ) G ' ( h x ) dx f o r -m < h < ~ m ,and 0 < a < m, and

T(h,a) ,fO= 2
l + x
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h
S(h,a,b) = T ( a x , b ) G 1 ( x ) d x f o r - m < h < +, and 0 < a , b < m.
-m

Some e x p r e s s i o n s i n v o l v i n g t h e S- and T-functions a r e g i v e n i n

T a b l e 11. See Owen (1956) and S t e c k (1958) f o r more i n f o r m a t i o n
on t h e S- and T - f u n c t i o n s . Other i n t e g r a l s of t h i s t y p e have been
g i v e n by Kamat ( l 9 5 3 ) , Hojo ( l 9 3 l ) , and Godwin (1949). A l l loga-
r i t h m s w i l l be t o t h e b a s e e , u n l e s s o t h e r w i s e i n d i c a t e d .
I n o r d e r t o make t h e s e a r c h f o r p a r t i c u l a r i n t e g r a l s e a s i e r
and t o b e s u r e whether o r n o t a n i n t e g r a l of a g i v e n form i s p r e s e n t ,
t h e i n t e g r a l s i n T a b l e I have been numbered by t h e f o l l o w i n g scheme.
Consider an i n t e g r a l of t h e form

h i
/ f ( x ) [G(a+bx) lc [ ~ ( b xl)d [G' (a+bx) l g [G' (bx) ] x dx.

Then, e x c e p t f o r f ( x ) , t h e i n t e g r a l i s indexed by t h e v a l u e s of
c d g h i, i n t h a t o r d e r , w i t h each of t h e q u a n t i t i e s c , d , g , h ,
and i b e i n g between 0 and 9 o r w i t h a v a l u e of n , where n i s any
-2
i n t e g e r . For example, I x G T ( x ) d x i s indexed a s 1 2 , s i n c e h = 1
and i = 2 . The l e a d i n g z e r o s a r e s u p p r e s s e d . Another example
2
would b e /xn[G(a+bx) ] G ' (x)dx which i s indexed a s 20,0111.
 392 OWEN

The e n t r y 20,Oln a p p e a r s a f t e r 20,019. Hence, when l o o k i n g f o r a

s p e c i f i c i n t e g r a l t h e r e a d e r s h o u l d i n d e x i t f i r s t and t h e n l o o k
f o r t h a t i n d e x number. When t h e r e a r e s e v e r a l i n t e g r a l s w i t h t h e
same i n d e x t h e y a r e d i f f e r e n t i a t e d by adding a d e c i m a l and t h e n 1,
2, 3, ... a s f a r a s needed. I n o t h e r words, a l l d e c i m a l e n t r i e s
f o r a g i v e n i n d e x s h o u l d b e checked b e f o r e c o n c l u d i n g t h a t a
p a r t i c u l a r i n t e g r a l is not present. A l s o , i f a n i n t e g r a l indexed
45, f o r example, i s n o t found t h e n n 5 ; 4n; 405; no5 and 40n s h o u l d
b e checked, s i n c e p u t t i n g a = 0 i n G 1 ( a + b x ) would g i v e G 1 ( b x ) .
S i m i l a r l y t h e c d i g i t s h o u l d b e checked wherever a d d i g i t i s r e -
quired i f t h e required e n t r y does not appear under t h e d d i g i t .
Now c o n s i d e r t h e f ( x ) T h i s i s coded i n t h e s i x t h d i g i t
position a s follows:

f u n c t i o n , f (x) code
- code w i t h p o s i t i o n
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ax
e 1 100,000
eG' (XI 2 200,000
G(x) 3 3OO,OOO
-alnx
X 4 4OO,OOO
-1nx
x lnx 5 5OO,OOO
I n G(x) 6 6OO,OOO
[G(x) I-1 7 7OO,OOO
[G(x) ] - l l n ~ ( x ) 8 800,000

~ ( r n
2 2
Ei[-1/2h (1- )] a00,OOO
T(h,x) boo, 000
T (a+bx, c ) coo, 000
bx
e T(x,a) d00,000
S(a+bx,c,d) e00,000

T h i s c o d i n g t h e n s h o u l d e n a b l e t h e r e a d e r t o go d i r e c t l y t o
t h e i n t e g r a l he seeks. For example j ~ ( a + b x , c ) x d x i s coded ~ 0 0 , 0 0 1 .
I n a few c a s e s t h e i n t e g r a l i s more g e n e r a l t h a n t h e c o d i n g would
i n d i c a t e , b u t t h i s was n e c e s s a r y t o keep t h e c o d i n g w i t h i n bounds.
 TABLE OF NORMAL INTEGPALS

TiULE I
I n t e g r a l s o f Yormal D e n s i t i e s and C u m u l a t i v e s

11 ~ X G (' x ) d x = -G' (x)

2
12 /x G ' ( x ) d x = G(x) - xG' ( x )

13 /x'G' ( x ) d x = - ( x L + 2 ) ~ (' x )

4 3
14 /x G ' ( x ) d x = 3G(x) - ( x +3x)Gt (x)

5
15 /x G' (x)dx = - ( x 4+4x2+8) G ' ( x )
6 5 3
16 / x G ' ( x ) d x = 15G(x) - (x +5x +15x)Gt ( x )
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ln. 2 j x n I~( x ) dx = x n ( ~
x ) -n / x n - ' ~ ( x ) dx

111.3 I f n i s odd

I f n i s odd

(Continued . . . )
 OWEN

TABLE I (Continued)

ln. 5 I f n i s odd

g x n ~ l (ax)dx =
n+l

ln. 6 I f n i s odd

2 2
where 7' h a s a P o i s s o n d i s t r i b u t i o n w i t h mean a y 1 2 .
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ln. 7 I f n i s even

where X 2 has t h e chi-square d i s t r i b u t i o n w i t h n+l

n+l
d e g r e e s of freedom.
 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)

+m
3 1
1
-m
[G' (x)] dx = -
2TA

I+-2x
-0
3
[G' (x) ] dx =
1
-
6~rA

If n is odd
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If n is even

m- 1
m n x m-1 a-2
/X [G' (x) ] dx = - - n ' I+ x~ [~'(x)]"dx

IXG'(a+bx)dx = -- 1G ' (a+bx) - 3(a+bx)

b2 b
(Continued . . . )
 OWEN

TABLE I (Continued)
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/G ' ( x ) [ G ' (a+bx) ] ndx =

l+nb

1,000 / ~ ( b x dx
) = xG (bx) + -b1 G ' (bx)
1,001 / x ~ ( x ) d x= -12 ( x 2-1) G(x) + 1
-xG' ( x )
2
 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)

1,002

3 1 4
1,003 /x G(x)dx = - ( x -3)G(x)
4
+ -41( x 3+3x)G1(:x)
4 1 5 1 4 2
1,004 /x G(x)dx = -x G(x)
5
+ -(x +hx +8)G1 (x)
5
5 3
1,005 /x G(x)dx = i ( r 6 - 1 5 ) ~ ( x ) + i(x5+5x +15x)G1 (x)
6

n 1 n+l 1 n
1,OOn.l /x G(x)dx = - x G(x) + - x G1(x)
n+l n+l

--. / x n - ' ~ ' (x) dx

n+l

n 1 1 n-1 1 n
1,00n.2 / x G ( x ) d x =-[x -nx ]G(x) + x x G 1 ( x )
n+l
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+--n (n-1)
n+l
/ x ~ - ~( xG) dx

1,00n.3 I f n i s even, n 0,

-
+ .. . + n(n-2). .. 6.4.2.]G1(x).
1,OOn. 4 I f n i s odd, n > 0,

1,010.1

1,010.2

1,010.3

m
1
1,010.4 / G1(ax)G(bx)dx = - a r c c o s
2na
-=
0
(Continued ...)
 OWEN

TABLE I (Continued)

~ X G (x)
' G ( a x ) dx =
a
~ ( ~ h t a- Gl ')(x)G(ax)
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5 2 X 2
/x3G(x)G' ( x ) d x = - ~ ( x f i )- (x +2)G ( x ) ~(x)
' - ?[G'(x)]
4A
 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)

1,014
0
-
1 x4G' (x)G(ax)dx =
3
4+-
- 3
2iT arctan a +
a ( 3a2+5)
277(l+a2)
2

1,Oln.l If n is odd
m
(n-4) /277-1/2
x n ~ '(x)G(ax) dx = it?) 2
0

where B = %
l+a
and c
0
= 1, cr =
2r-1
-
2r cr-1

1,0111.2 If n is even
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/
0
m

X~G'
(x)G(ax) dx = cl)
r - 2 (n-4)<312[iT+2 arctan a

2
where B = l/(l+a ) and bo = 1, b r = -2r b
2r+l r-1

-(n-1)/2
1,Ono 1[G I (x) 1n~ (bx)dx = -(277)
J;;

(Continued . . . I
 OWEN

TABLE I (Continued)

1
/ ~ ( a x ) ~ ( x ) d=x xG(x)G(ax) + G ' (x)G(ax) + ;G(x)Gt (ax)
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-- G ( ~ & )+ :[GI (x) l 2

6A
m
2 1
/ [G(ax) ] G ' (x)dx = --[arctan
2.ir
a + arctan
0

+
/ [G(ax) ] 2 G '
-a
1
(x)dx = -
2
--1
277
arcos -
(
l +a'2)
a

fm
1
a r c t a n $-2
2
/ [G(ax)] G1(x)dx = - 1+2a
-m

I0 G(ax)G(bx)G1(x)dx = (arctan a + arctan b)/(4a) + 118

 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)

0
2,010.7 /-m G(ax)G(bx)G1 (x)dx = -(arctan a + arctan b)/(4n) + 118

m
2 I +
2,011.1 / xG' (x) [G (ax)] dx = -
O 4JT;; (1+a2)&

1
+-
2IT
arctan -

2,011.2
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fm
1 n+l
2,OnO /
-m
[G(ax)]
2
[
[G' (x)] dx = n-arcos -
n+a 2]n-'(zn<-,
2
n+o.

3,010.1

-
=-
1 +-3 arctan Jl+za2
2n

3,010.2

+ arccos ac

+ arccos
a mJ /(4n)

(Continued ...)
 402 OWEN

TABLE I (Continued)

-+
,/ [G ( a x ) ] 3G' (x)xdx
-OD
=
.G rn
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( a x = (?) G(a+bx) + 61 G ').+a(

 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)
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0
1 G' (x)G (x+c) dx = -
-m

Cm
1 G ' (x)G(a+bx) dx = G
-0

(Continued ...)
 404 OWEN

TABLE I (Continued)

- G (a+bx) G ' (x)

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F o r o d d s v a l u e s of f

w h e r e t h e M*'S a n d H ' s a r e d e f i n e d b e l o w . For even v a l u e s

of f
Qf ( t , 8; O,R)G(-6) + .
J ( ~ ~ ) [ M ~ + I I ~ I E I ~ +. +
J
.

E ~M+ ~. - ~ + H ~ - ~ ~ ,

where

:
M -
= A ~ ~ ' ( 6 6 ) [ ~ ( b A 6G) ( ( ~ A B - R ) I & ) I ,
 TABLE OF NORMflL INTEGRALS

TABLE I (Continued)

where
= %ABRG' ( R ) G ' (a-6) a
k
=
(ic-2)a
for k 2 3
1 k-1
and and a = 1
2

For odd v a l u e s of f , C 7

+ + + +
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2[M -H +M -H +...+I4 f-2 -H f - 2 ]

1 1 3 3
+
where t h e M ' s a r e d e f i n e d below. F o r e v e n v a l u e s of f ,
we h a v e

where

F o r odd v a l u e s of f

~ r { ~ , i t l 6 =} G(-6&) + 2 ~ ( 6 & , ~ +[Ml+M3+..

)
(Continued ...)
 406 OWEN

TABLE I (Continued)

where

and the F's are defined below. Tor even vaiues of f ,

where
2'1-1 = 0,
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and where

a = for k 2 3 and a = 1
(k:2)a 2
k-1
and where T,I has the noncentral t-distribution with f
degrees of freedom and noncentralitv Darameterc 6.

cm (T)2(n-l) 12
/ xnG ' (x)G (ax+b) dx = Pr{Tf< a=/ S=-bj
0 JG
where f = n+l and Tf is defined as in 10,01n.3
 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)

fm

-m

where 0 2 c i2 5 1.
+m C
1
-m
G(a+bx) G(c+dx)~' (x)dx =&N
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(Continued ... )
Downloaded by [Universitaets und Landesbibliothek] at 10:47 14 November 2013

TABLE I
(Continued)
OWEN
 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)
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where p i j = didj,

2
1
+ ieia GI (x-a), a#O
(Continued . . .)
Downloaded by [Universitaets und Landesbibliothek] at 10:47 14 November 2013

410

TABLE I
(Continued)

+
(
T bx,

1
+ =[G
-
-

(x) ] n + l l n ~(x)
OWEN
 TABLE OF NORMAL INTEGRALS

TABLE I (Continued)

Jm
' dx = 1nG (x)
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where

t X
E.(t) = :J dx.
-m

(Continued ...I
 OWEN

TABLE I (Continued)

+ :2G' (x) .

1 a G' (ax)G1(x) + ~ X G '(x)

4
l+a2
m
1.
~00,001.1 / GT(x)T(ax,b)dx = -
4n
arctan
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(jb:+J
-G' (x) T (a+bx,c) -bG ' =
Downloaded by [Universitaets und Landesbibliothek] at 10:47 14 November 2013

TABLE I
(Continued)
TABLE OF NORMAL INTEGRALS

+
i,/ebx~'
.(x) G (ax) dx , biO
 OWEN

TABLE I1
Some P r o p e r t i e s of t h e S- and T-functions

T(h,O) = 0
T(0,a) = (arctan a ) / ( 2 ~ )
T ( h , l ) = G(h) [ 1 - G ( h ) ] / 2
T(h,m) = [ l - ~ ( / h / ) 1 / 2
T(-h,a) = T ( h , a )
T(h,-a) = -T(h,a)
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hax 2 2
T(h,a) =
arctan a
2T
-1
J e-'" +y "2d,dx
2a
0 0
h
arctan a -/ G1(x)G(ax)dx
1
+ ,G(h) - 1
T(h,a) = '.
2T 0

J7-n
S(O,a,b) = [ a r c t a n ( b / l + a +a b ) ] / ( 4 ~ )

JTTT
S(m,a,b) = [ a r c t a n ( b / l + a +a b ) ] / ( 2 a )
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TABLE I1
(Continued)
TABLE OF NORMAL INTEGRALS
 416 OWEN

TABLE 111
Formulas for Bivariate and Trivariate Normal Cumulatives

if hk > 0, or if hk = 0 and h or k 0,
3.1 or if both = 0

()
-Tk,- -iy
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\ if hk < 0, or if hk = 0 and h or k < 0.

(ph-k)sgn h
3.6

(pk-h)sgn k

If hk > 0 or if hk = 0 and h or k > 0 or if both are = 0.

If the conditions are otherwise one half is subtracted
from the right hand side of this expression.
 TABLE OF NORMAL INTEGRALS

TABLE III (Continued)

3.7 T v l J ( h , k , m ; p 12,313,p23) = PrCx 1 - -

< h: x 2 < k; x
3
< m}
-
Case i: h -
> 0, k -
> 0, m -
> 0 or h 5 0, k -< 0, m -
< 0,
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where
k- hp m-kp h-mp
12 23 13
a =

m-hp h-kp k-mp

13 - 12 2 23) 1 / 2 '
C1= 2 1 1 2 ' C2 2 112' =3 =
h(l-pl3) k(l-p12) m(l-P23

L
(1-pI3) (k-hp12) -
( P ~ i2~13)
~ - (m-hp13)
d =
1 112
(m-hp13) A

(Continued ...)
 OWEN

TABLZ I11 (Continued)

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0 if (sgn x) (sgn y ) = 1,

1 if x ~ 0 ,
sgn x =
-1 if x < 0.

Occasionally some of the ai and/or ci may be "accidentally" zero

because some expressions like k - hp12 is zero. This will also
cause some of the bi and/or di to be infinite or possibly inde-
terminate. These special cases should be handled as follows:

a) If ai = ci = 0, then b.
1
and d. are indeterminate, i.e.,
010, and are evaluated as follows:

b) If ai = 0 and ci f 0 (or ci = 0 and ai j O),

let = 112 and set bi (or di) equal to zero.
i i
 TABLE OF NORMAL INTEGRALS

ACKNOWLEDGEMENT

T h i s r e s e a r c h was s u p p o r t e d by t h e O f f i c e of Naval Research

C o n t r a c t No. N00014-76-0613. The a u t h o r wishes t o thank D r . John
Michael f o r s u g g e s t i n g t h e i n d e x i n g b e i n g used h e r e .

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