Expressions for the normal distribution and repeated normal integrals

DOI10.1016/j.spl.2005.08.015zbMath1086.62017OpenAlexW2085089465MaRDI QIDQ2489817

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

Hermite functionsLaplace expansionMills' ratioNormal distributionAirey functionsRepeated integralsUnivariate

Mathematics Subject Classification ID

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

Related Items (12)

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

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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