Do you happen to know some software that lets me compute the PDF of a two-dimensional gaussian distribution? I.e. (X,Y) is two-dimensional normal distributed, which you get by transforming two independent normally distributed variables with a 2x2 real matrix, and then I want to know the probability of (X<u and Y<v) for any (u,v). The case when X and Y are independent is easy, because then I can factor this to two normal PDFs, but you can't assume that here.