Bounding Standard Gaussian Tail Probabilities
Statistics Theory
2010-12-21 v3 Statistics Theory
Abstract
We review various inequalities for Mills' ratio (1 - \Phi)/\phi, where \phi and \Phi denote the standard Gaussian density and distribution function, respectively. Elementary considerations involving finite continued fractions lead to a general approximation scheme which implies and refines several known bounds.
Cite
@article{arxiv.1012.2063,
title = {Bounding Standard Gaussian Tail Probabilities},
author = {Lutz Duembgen},
journal= {arXiv preprint arXiv:1012.2063},
year = {2010}
}