Accurate Normal Distribution for the HP67/97
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12-02-2018, 07:44 PM
Post: #16
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RE: Accurate Normal Distribution for the HP67/97
(06-26-2016 09:34 PM)Dieter Wrote: The algorithm for the inverse (quantile function) first calculates a rough estimate by means of a simple rational approximation with an error of about ±0,002. The error of this first approximation is taylored for the following correction step that provides the final result. This is a very effective third order extrapolation due to Abramovitz & Stegun (1972) p. 954. What is the formula for the inverse cdf guess ? Is it this one ? https://www.johndcook.com/blog/normal_cdf_inverse/ I do not have access to the Abramovitz & Stegun book. Is third order correction faster than simple Newton's method ? Newton iteration: x = x - (CDF(x) - p) / PDF(x) |
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