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    S15acc cl05

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    Khhg Agdds
    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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    S15acc cl05

    Uploaded by

    Khhg Agdds
    13 views2 pages
    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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    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.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    13 views2 pages

    S15acc cl05

    Uploaded by

    Khhg Agdds
    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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    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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