nag_cumul_normal_complem (s15acc) evaluates an approximate value for the complement of the cumulative Normal distribution function
The function is based on the fact that
and it calls
nag_erfc (s15adc) to obtain the necessary value of
, the complementary error function.
None.
Because of its close relationship with
the accuracy of this function is very similar to that in
nag_erfc (s15adc). If
and
are the relative errors in result and argument, respectively, then in principle they are related by
For
negative or small positive this factor is always less than
and accuracy is mainly limited by
machine precision. For large positive
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 factor is always less than one absolute accuracy can be guaranteed for all
.
None.