Created
February 17, 2012 14:05
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replace cdfNormal function in stats extension
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//Cumulative Distribution Function of the Normal(0,1) distribution. | |
//based on "A Note on Approximating the Normal Distribution Function", K. M. Aludaat and M. T. Alodat, Applied Mathematical Sciences 2008 | |
//Better is Abramowitz and Stegun;" Handbook of Mathematical Functions." 1964,(formula: 26.2.17) as implemented below | |
//var cdfconst = Math.sqrt(Math.PI/8); | |
math.normalCDF = function(z) | |
{ | |
var p = 0.2316419; | |
var a1=0.319381530; | |
var a2=-0.356563782; | |
var a3=1.781477937; | |
var a4=-1.821255978; | |
var a5= 1.330274429; | |
var t = 1/(1+p*z); | |
//return 0.5+0.5*Math.sqrt(1-Math.exp(-cdfconst*z*z)); | |
return 1-math.pdfNormal(z,0,1)*(a1*t+a2*Math.pow(t,2)+a3*Math.pow(t,3)+a4*Math.pow(t,4)+a5*Math.pow(t,5)); | |
} | |
new funcObj('cdfNormal',[TNum],TNum,math.normalCDF); |
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