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S15acc cl05

This document describes the nag_cumul_normal_complem function which returns the complement of the cumulative normal distribution function Q(x). It evaluates an approximate value for Q(x) based on the fact that Q(x) = 1/2 erfc(x/√2). The function returns accurate results for all values of x by guaranteeing absolute accuracy even when relative accuracy is unavoidably lost for large positive x.

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24 views

S15acc cl05

This document describes the nag_cumul_normal_complem function which returns the complement of the cumulative normal distribution function Q(x). It evaluates an approximate value for Q(x) based on the fact that Q(x) = 1/2 erfc(x/√2). The function returns accurate results for all values of x by guaranteeing absolute accuracy even when relative accuracy is unavoidably lost for large positive x.

Uploaded by

Khhg Agdds
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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s – Approximations of Special Functions s15acc

nag cumul normal complem (s15acc)

1. Purpose
nag cumul normal complem (s15acc) returns the value of the complement of the cumulative normal
distribution function Q(x).

2. Specification
#include <nag.h>
#include <nags.h>
double nag_cumul_normal_complem(double x)

3. Description
The function evaluates an approximate value for the complement of the cumulative normal
distribution function
 ∞
1
e−u /2 du.
2
Q(x) = √
2π x

The function is based on the fact that


√
Q(x) = 12 erfc(x/ 2).

4. Parameters
x
Input: the argument x of the function.

5. Error Indications and Warnings


None.

6. Further Comments
6.1. Accuracy
If and δ are the relative√errors in result and argument, respectively, then in principle they are
related by | |  |(xe−x /2 2πQ(x)) δ|.
2

For x negative or small positive the multiplying factor is always less than one and accuracy is
mainly limited by machine precision. For large positive x we find ∼ x2 δ and hence to a certain
extent relative accuracy
√ is unavoidably lost. However the absolute error in the result, E, is given by
|E|  |(xe−x /2 2π) δ|, and since this multiplying factor is always less than one absolute accuracy
2

can be guaranteed for all x.


6.2. References
Abramowitz M and Stegun I A (1968) Handbook of Mathematical Functions Dover Publications,
New York ch 7.1 p 297 and ch 26.2 p 931.

7. See Also
nag deviates normal dist (g01cec)
nag cumul normal (s15abc)

8. Example
The following program reads values of the argument x from a file, evaluates the function at each
value of x and prints the results.

[NP3275/5/pdf] 3.s15acc.1
nag cumul normal complem NAG C Library Manual

8.1. Program Text


/* nag_cumul_normal_complem(s15acc) Example Program
*
* Copyright 1990 Numerical Algorithms Group.
*
* Mark 1, 1990.
*
* Mark 3 revised, 1994.
*/
#include <nag.h>
#include <stdio.h>
#include <nag_stdlib.h>
#include <nags.h>
main()
{
double x, y;
/* Skip heading in data file */
Vscanf("%*[^\n]");
Vprintf("s15acc Example Program Results\n");
Vprintf(" x y\n");
while (scanf("%lf", &x) != EOF)
{
y = s15acc(x);
Vprintf("%12.3e%12.3e\n", x, y);
}
exit(EXIT_SUCCESS);
}
8.2. Program Data
s15acc Example Program Data
-20.0
-1.0
0.0
1.0
2.0
20.0
8.3. Program Results
s15acc Example Program Results
x y
-2.000e+01 1.000e+00
-1.000e+00 8.413e-01
0.000e+00 5.000e-01
1.000e+00 1.587e-01
2.000e+00 2.275e-02
2.000e+01 2.754e-89

3.s15acc.2 [NP3275/5/pdf]

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