NAG Library Function Document
nag_cumul_normal (s15abc) returns the value of the cumulative Normal distribution function .
||nag_cumul_normal (double x)
nag_cumul_normal (s15abc) evaluates the cumulative Normal distribution function
The function is based on the fact that
Abramowitz M and Stegun I A (1972) Handbook of Mathematical Functions (3rd Edition) Dover Publications
x – doubleInput
On entry: the argument of the function.
6 Error Indicators and Warnings
If and are the relative errors in result and argument, respectively, they are in principle related by .
For small and for positive the multiplying factor is always less than one and accuracy is mainly limited by machine precision. For large negative we find and hence to a certain extent relative accuracy is unavoidably lost. However, the absolute error in the result, , is given by , and since this multiplying factor is always less than one, absolute accuracy can be guaranteed for all .
The following program reads values of the argument from a file, evaluates the function at each value of and prints the results.
9.1 Program Text
Program Text (s15abce.c)
9.2 Program Data
Program Data (s15abce.d)
9.3 Program Results
Program Results (s15abce.r)