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Inverse cumulative normal distribution
01-13-2016, 08:45 AM
Post: #3
RE: Inverse cumulative normal distribution
Quote:Even the good old Hastings version from the Fifties yields an absolute error within 4,5 E–4 and requires just one log, one root and a few multiplications/additions

OK, I had kept in mind approximations with many parameters and multiple pieces ...

Quote:I'd recommend this paper: "Very Simply Explicitly Invertible Approximations of Normal Cumulative and Normal Quantile Function" by Alessandro Soranzo and Emanuela Epure, published in Applied Mathematical Sciences, Vol. 8, 2014, no. 87. There also is an approximation for Phi(x) with an accuracy better than 2 E–4 which requires just three or four integer (!) constants. ;-)

I'll look at it. It seems very interesting.

Thanks !
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[] - Dieter - 01-12-2016, 11:38 PM
RE: Inverse cumulative normal distribution - Pekis - 01-13-2016 08:45 AM

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