Some Simple Full-Range Inverse-Normal Approximations
DOI:
https://doi.org/10.33993/jnaat541-1434Keywords:
numerical approximation, inverse normal distribution function, inverse error functionAbstract
Two approximations are given for numerically inverting the full range of the standard normal cumulative distribution function. The first approximation has two fitted constants and only modest accuracy but is very simple and well suited for hand calculators. The second approximation has four fitted constants and is more accurate. Alternate versions of the approximations are also given, with the constants chosen to minimize the maximum relative error in the implied approximate q rather than the maximum absolute error in the approximate z.
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