Practical Explicitly Invertible Approximation to 4 Decimals of Normal Cumulative Distribution Function Modifying Winitzki's Approximation of erf
Statistics Theory
2012-11-28 v1 Statistics Theory
Abstract
We give a new explicitly invertible approximation of the normal cumulative distribution function: , , with absolute error , absolute value of the relative error , which, beeing designed essentially for practical use, is much simpler than a previously published formula and, though less precise, still reaches 4 decimals of precision, and has a complexity essentially comparable with that of the approximation of the normal cumulative distribution function immediatly derived from Winitzki's approximation of erf, reducing about 36% the absolute error and about 28% the relative error with respect to that, overcoming the threshold of 4 decimals of precision.
Keywords
Cite
@article{arxiv.1211.6403,
title = {Practical Explicitly Invertible Approximation to 4 Decimals of Normal Cumulative Distribution Function Modifying Winitzki's Approximation of erf},
author = {Alessandro Soranzo and Emanuela Epure},
journal= {arXiv preprint arXiv:1211.6403},
year = {2012}
}
Comments
4 pages, 5 figures