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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: Φ(x)1/2+1/21ex217+x226.694+2x2\Phi(x) \simeq 1/2 + 1/2 \sqrt{1-{e}^{-x^2\frac{17+{x}^{2}}{26.694+2x^2}}}, x0\forall x \ge 0, with absolute error <4.00105<4.00\cdot 10^{-5}, absolute value of the relative error <4.53105<4.53\cdot 10^{-5}, 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 Φ(x)\Phi(x) immediatly derived from Winitzki's approximation of erf(x)(x), 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