Expressions for the normal distribution and repeated normal integrals

DOI10.1016/J.SPL.2005.08.015MaRDI QIDQ2489817zbMATH OpenOpenAlexFDO

Authors Christopher S. Withers, P. N. McGavin

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.08.015

zbMATH Keywords

Airey functionsHermite functionsLaplace expansionMills' ratioNormal distributionRepeated integralsUnivariate

Mathematics Subject Classification ID

Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15)

Recommendations

• New expressions for repeated upper tail integrals of the normal distribution
• New expressions for repeated lower tail integrals of the normal distribution
• Repeated integrals of the univariate normal as a finite series with the remainder in terms of Moran's functions
• Normal moments and Hermite polynomials
• The moments of the multivariate normal

Cites work

• A simple expression for the multivariate Hermite polynomials
• An approximation to percentiles of a variable of the bivariate normal distribution when the other variable is truncated, with applications
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Cited in

(14)

• Double precision rational approximation algorithm for the inverse standard normal second order loss function
• Double precision rational approximation algorithms for the standard normal first and second order loss functions
• Moment representation of Bernoulli polynomial, Euler polynomial and Gegenbauer polynomials
• Double precision rational approximation algorithm for the inverse standard normal first order loss function
• New expressions for repeated lower tail integrals of the normal distribution
• Edgeworth-Cornish-Fisher-Hill-Davis expansions for normal and non-normal limits via Bell polynomials
• Repeated integrals of the univariate normal as a finite series with the remainder in terms of Moran's functions
• EXPANSIONS FOR SUMS OF RAYLEIGHS
• Fisher's repeated normal integral function and shape distributions
• New expressions for repeated upper tail integrals of the normal distribution
• The distribution of the maximum of a first order moving average: the continuous case
• A reciprocal relation for Hermite polynomials
• New classes of density estimates of low bias
• Some conditional expectation identities for the multivariate normal

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