Dear R helpers

I am working on the Bi-variate Normal distribution probabilities. I need to double integrate the following function (actually simplified form of bivariate normal distribution)

f(x, y) = exp [ - 0.549451 * (x^2 + y^2 - 0.6 * x * y) ]

where 2.696 < x < 3.54 and -1.51 < y < 1.98

I need to solve something like


INTEGRATE (2.696 to 3.54) dx INTEGRATE [(-1.51 to 1.98)] f(x, y) dy

I have referred to stats::integrate but it deals with only one variable. 

This example appears in Internal Credit Risk Model by Michael Ong (page no. 160).

Kindly guide.

Regards

Sarah





      
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