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Inverse cumulative normal distribution
01-13-2016, 09:54 AM
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RE: Inverse cumulative normal distribution
Quote:If you are interested in simple approximations to the Normal integral ā€“ especially in those that can be inverted to get an approximation for the quantile ā€“ 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 Eā€“4 which requires just three or four integer (!) constants. ;-)

I wonder how they found 2^(-22^(1-41^(x/10))) for Phi(x) ... Was it pure brute force ?
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[] - Dieter - 01-12-2016, 11:38 PM
RE: Inverse cumulative normal distribution - Pekis - 01-13-2016 09:54 AM



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