An evaluation of the integral of the product of the error function and the normal probability density with application to the bivariate normal integral

Abstract. This paper derives the value of the integral of the product of the error function and the normal probability density as a series of the Hermite polynomial and the normalized incomplete Gamma function. This expression is beneficial, and can be used for evaluating the bivariate normal integral as a series expansion. This expansion is a good alternative to the well-known tetrachoric series, when the correlation coefficient, ρ, is large in absolute value.

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