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On the Computation of Integrals of Bivariate Gaussian Distribution

Abstract : This paper deals with the computation of integrals of centred bivariate Gaussian densities over any domain defined as an angular sector of R 2. Based on an accessible geometrical approach of the problem, we suggest to transform the double integral into a single one, leading to a tractable closed-form expression only involving trigonometric functions. This solution can also be seen as the angular cumulative distribution of bivariate centered Gaussian variables (X, Y). We aim to provide a didactic approach of our results, and we validate them by comparing with those of the literature.
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Contributor : Vincent Savaux <>
Submitted on : Monday, April 27, 2020 - 4:13:36 PM
Last modification on : Thursday, May 7, 2020 - 1:15:01 AM


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  • HAL Id : hal-02555869, version 1


Vincent Savaux, Luc Le Magoarou. On the Computation of Integrals of Bivariate Gaussian Distribution. IEEE Symposium on Computers and Communications (ISCC), Jul 2020, Rennes, France. ⟨hal-02555869⟩



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