Algorithm 885
Algorithm 885: Computing the logarithm of the normal distribution. We present and compare three C functions to compute the logarithm of the cumulative standard normal distribution. The first is a new algorithm derived from Algorithm 304’s calculation of the standard normal distribution via a series or continued fraction approximation, and it is good to the accuracy of the machine. The second is based on Algorithm 715’s calculation of the standard normal distribution via rational Chebyshev approximation. This is related to, and an improvement on, the algorithm for the logarithm of the normal distribution available in the software package R. The third is a new and simple algorithm that uses the compiler’s implementation of the error function, and complement of the error function, to compute the log of the normal distribution.
This software is also peer reviewed by journal TOMS.
This software is also peer reviewed by journal TOMS.
Keywords for this software
References in zbMATH (referenced in 8 articles )
Showing results 1 to 8 of 8.
Sorted by year (- Matić, Ivan; Radoičić, Radoš; Stefanica, Dan: A sharp Pólya-based approximation to the normal cumulative distribution function (2018)
- De Schrijver, Steven K.; Aghezzaf, El-Houssaine; Vanmaele, Hendrik: Double precision rational approximation algorithm for the inverse standard normal second order loss function (2014)
- Rossi, Roberto; Tarim, S. Armagan; Prestwich, Steven; Hnich, Brahim: Piecewise linear lower and upper bounds for the standard normal first order loss function (2014)
- De Schrijver, Steven K.; Aghezzaf, El-Houssaine; Vanmaele, Hendrik: Double precision rational approximation algorithms for the standard normal first and second order loss functions (2012)
- De Schrijver, Steven K.; Aghezzaf, El-Houssaine; Vanmaele, Hendrik: Double precision rational approximation algorithm for the inverse standard normal first order loss function (2012)
- Gil, Amparo; Segura, Javier; Temme, Nico M.: Basic methods for computing special functions (2011)
- Klauer, Karl Christoph; Kellen, David: The flexibility of models of recognition memory: an analysis by the minimum-description length principle (2011)
- Linhart, Jean Marie: Algorithm 885: Computing the logarithm of the normal distribution. (2008) ioport