A sharp Pólya-based approximation to the normal cumulative distribution function

DOI10.1016/j.amc.2017.10.019zbMath1426.62073OpenAlexW2774777035MaRDI QIDQ2423108

Radoš Radoičić, Dan Stefanica, Ivan Matic

Publication date: 21 June 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2017.10.019

zbMATH Keywords

numerical approximationPólya-based approximationstandard normal CDF

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Approximations to statistical distributions (nonasymptotic) (62E17) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Related Items (2)

AN EXPLICIT IMPLIED VOLATILITY FORMULA ⋮ TIGHTER BOUNDS FOR IMPLIED VOLATILITY

Uses Software

• AS 66
• DLMF
• Algorithm 885
• Algorithm 304

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Highly accurate analytic approximation to the Gaussian \(Q\)-function based on the use of nonlinear least squares optimization algorithm
• Calculation of univariate and bivariate normal probability functions
• On Laplace continued fraction for the normal integral
• Chebyshev expansions and rational approximations
• NIST digital library of mathematical functions
• A uniform approximation to the right normal tail integral
• A sigmoid approximation of the standard normal integral
• Zur Berechnung des Fehlerintegrals
• An invertible approximation to the normal distribution function
• Computation of Tail Probabilities via Extrapolation Methods and Connection with Rational and Padé Approximants
• APPROXIMATION TO THE CUMULATIVE NORMAL DISTRIBUTION USING HYPERBOLIC TANGENT BASED FUNCTIONS
• Chebyshev Approximation of (1 + 2x)exp(x 2 )erfc x in 0 x < ∞
• Low-Order Approximations for the Normal Probability Integral and the Error Function
• Yet another series for the normal integral
• Approximations for Hand Calculators Using Small Integer Coefficients
• Chebyshev Expansions for the Error and Related Functions
• Algorithm 715: SPECFUN–a portable FORTRAN package of special function routines and test drivers
• Accurate RMM-Based Approximations for the CDF of the Normal Distribution
• Calculating Normal Probabilities
• On the Calculation of the Inverse of the Error Function.
• Rational Chebyshev Approximations for the Error Function
• A Close Approximation Related to the Error Function
• The bivariate normal integral
• INEQUALITIES FOR THE NORMAL INTEGRAL INCLUDING A NEW CONTINUED FRACTION

This page was built for publication: A sharp Pólya-based approximation to the normal cumulative distribution function