NAG CL Interface
s15abc (cdf_​normal)

1 Purpose

s15abc returns the value of the cumulative Normal distribution function, Px.

2 Specification

#include <nag.h>
double  s15abc (double x)
The function may be called by the names: s15abc, nag_specfun_cdf_normal or nag_cumul_normal.

3 Description

s15abc evaluates an approximate value for the cumulative Normal distribution function
Px = 12π -x e-u2/2 du .  
The function is based on the fact that
Px = 12 erfc-x2  
and it calls s15adc to obtain a value of erfc for the appropriate argument.

4 References

NIST Digital Library of Mathematical Functions

5 Arguments

1: x double Input
On entry: the argument x of the function.

6 Error Indicators and Warnings


7 Accuracy

Because of its close relationship with erfc, the accuracy of this function is very similar to that in s15adc. If ε and δ are the relative errors in result and argument, respectively, they are in principle related by
ε x e -12 x2 2πPx δ  
so that the relative error in the argument, x, is amplified by a factor, x e -12 x2 2πPx , in the result.
For x small and for x positive this factor is always less than 1 and accuracy is mainly limited by machine precision.
For large negative x the factor behaves like x2 and hence to a certain extent relative accuracy is unavoidably lost.
However, the absolute error in the result, E, is given by
E x e -12 x2 2π δ  
so absolute accuracy can be guaranteed for all x.

8 Parallelism and Performance

s15abc is not threaded in any implementation.

9 Further Comments


10 Example

This example reads values of the argument x from a file, evaluates the function at each value of x and prints the results.

10.1 Program Text

Program Text (s15abce.c)

10.2 Program Data

Program Data (s15abce.d)

10.3 Program Results

Program Results (s15abce.r)