The function fmax()
will return the value of f(z), which is the value of the density function of the
maximum of two normally distributed random variables.
fmax(z, mu1, mu2, sigma1, sigma2, rho)
The function fmax()
will return the value of f(z), which is the value of the density function of the
maximum of two normally distributed random variables.
integral variable
mean of second endpoint
mean of first endpoint
standard deviation of first endpoint
standard deviation of second endpoint
correlation between the two endpoints
Z = max(X,Y) with X ~ N(mu1,sigma1^2), Y ~ N(mu2,sigma2^2)
f(z)=f1(-z)+f2(-z)