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Alternatives to Hastings' Approximation to the Inverse of the Normal Cumulative Distribution Function
Author(s) -
Bailey B. J. R.
Publication year - 1981
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346351
Subject(s) - cumulative distribution function , mathematics , inverse , inverse gamma distribution , distribution (mathematics) , statistics , econometrics , statistical physics , distribution fitting , probability distribution , inverse chi squared distribution , probability density function , mathematical analysis , physics , geometry
S ummary Two alternatives are given to Hastings' approximation to the inverse of the normal cumulative distribution function: one is adequate for the majority of practical problems, while the other is of use in the extreme tails. Both require fewer constants than Hastings' and have greater accuracy, particularly when measured in terms of relative error.