📄 ndtr.c
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/* ndtr.c * * Normal distribution function * * * * SYNOPSIS: * * double x, y, ndtr(); * * y = ndtr( x ); * * * * DESCRIPTION: * * Returns the area under the Gaussian probability density * function, integrated from minus infinity to x: * * x * - * 1 | | 2 * ndtr(x) = --------- | exp( - t /2 ) dt * sqrt(2pi) | | * - * -inf. * * = ( 1 + erf(z) ) / 2 * = erfc(z) / 2 * * where z = x/sqrt(2). Computation is via the functions * erf and erfc. * * * ACCURACY: * * Relative error: * arithmetic domain # trials peak rms * DEC -13,0 8000 2.1e-15 4.8e-16 * IEEE -13,0 30000 3.4e-14 6.7e-15 * * * ERROR MESSAGES: * * message condition value returned * erfc underflow x > 37.519379347 0.0 * *//* erf.c * * Error function * * * * SYNOPSIS: * * double x, y, erf(); * * y = erf( x ); * * * * DESCRIPTION: * * The integral is * * x * - * 2 | | 2 * erf(x) = -------- | exp( - t ) dt. * sqrt(pi) | | * - * 0 * * The magnitude of x is limited to 9.231948545 for DEC * arithmetic; 1 or -1 is returned outside this range. * * For 0 <= |x| < 1, erf(x) = x * P4(x**2)/Q5(x**2); otherwise * erf(x) = 1 - erfc(x). * * * * ACCURACY: * * Relative error: * arithmetic domain # trials peak rms * DEC 0,1 14000 4.7e-17 1.5e-17 * IEEE 0,1 30000 3.7e-16 1.0e-16 * *//* erfc.c * * Complementary error function * * * * SYNOPSIS: * * double x, y, erfc(); * * y = erfc( x ); * * * * DESCRIPTION: * * * 1 - erf(x) = * * inf. * - * 2 | | 2 * erfc(x) = -------- | exp( - t ) dt * sqrt(pi) | | * - * x * * * For small x, erfc(x) = 1 - erf(x); otherwise rational * approximations are computed. * * * * ACCURACY: * * Relative error: * arithmetic domain # trials peak rms * DEC 0, 9.2319 12000 5.1e-16 1.2e-16 * IEEE 0,26.6417 30000 5.7e-14 1.5e-14 * * * ERROR MESSAGES: * * message condition value returned * erfc underflow x > 9.231948545 (DEC) 0.0 * * *//*Cephes Math Library Release 2.8: June, 2000Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier*/#include <math.h>extern double SQRTH;extern double MAXLOG;#ifdef UNKstatic double P[] = { 2.46196981473530512524E-10, 5.64189564831068821977E-1, 7.46321056442269912687E0, 4.86371970985681366614E1, 1.96520832956077098242E2, 5.26445194995477358631E2, 9.34528527171957607540E2, 1.02755188689515710272E3, 5.57535335369399327526E2};static double Q[] = {/* 1.00000000000000000000E0,*/ 1.32281951154744992508E1, 8.67072140885989742329E1, 3.54937778887819891062E2, 9.75708501743205489753E2, 1.82390916687909736289E3, 2.24633760818710981792E3, 1.65666309194161350182E3, 5.57535340817727675546E2};static double R[] = { 5.64189583547755073984E-1, 1.27536670759978104416E0, 5.01905042251180477414E0, 6.16021097993053585195E0, 7.40974269950448939160E0, 2.97886665372100240670E0};static double S[] = {/* 1.00000000000000000000E0,*/ 2.26052863220117276590E0, 9.39603524938001434673E0, 1.20489539808096656605E1, 1.70814450747565897222E1, 9.60896809063285878198E0, 3.36907645100081516050E0};static double T[] = { 9.60497373987051638749E0, 9.00260197203842689217E1, 2.23200534594684319226E3, 7.00332514112805075473E3, 5.55923013010394962768E4};static double U[] = {/* 1.00000000000000000000E0,*/ 3.35617141647503099647E1, 5.21357949780152679795E2, 4.59432382970980127987E3, 2.26290000613890934246E4, 4.92673942608635921086E4};#define UTHRESH 37.519379347#endif#ifdef DECstatic unsigned short P[] = {0030207,0054445,0011173,0021706,0040020,0067272,0030661,0122075,0040756,0151236,0173053,0067042,0041502,0106175,0062555,0151457,0042104,0102525,0047401,0003667,0042403,0116176,0011446,0075303,0042551,0120723,0061641,0123275,0042600,0070651,0007264,0134516,0042413,0061102,0167507,0176625};static unsigned short Q[] = {/*0040200,0000000,0000000,0000000,*/0041123,0123257,0165741,0017142,0041655,0065027,0173413,0115450,0042261,0074011,0021573,0004150,0042563,0166530,0013662,0007200,0042743,0176427,0162443,0105214,0043014,0062546,0153727,0123772,0042717,0012470,0006227,0067424,0042413,0061103,0003042,0013254};static unsigned short R[] = {0040020,0067272,0101024,0155421,0040243,0037467,0056706,0026462,0040640,0116017,0120665,0034315,0040705,0020162,0143350,0060137,0040755,0016234,0134304,0130157,0040476,0122700,0051070,0015473};static unsigned short S[] = {/*0040200,0000000,0000000,0000000,*/0040420,0126200,0044276,0070413,0041026,0053051,0007302,0063746,0041100,0144203,0174051,0061151,0041210,0123314,0126343,0177646,0041031,0137125,0051431,0033011,0040527,0117362,0152661,0066201};static unsigned short T[] = {0041031,0126770,0170672,0166101,0041664,0006522,0072360,0031770,0043013,0100025,0162641,0126671,0043332,0155231,0161627,0076200,0044131,0024115,0021020,0117343};static unsigned short U[] = {/*0040200,0000000,0000000,0000000,*/0041406,0037461,0177575,0032714,0042402,0053350,0123061,0153557,0043217,0111227,0032007,0164217,0043660,0145000,0004013,0160114,0044100,0071544,0167107,0125471};#define UTHRESH 14.0#endif#ifdef IBMPCstatic unsigned short P[] = {0x6479,0xa24f,0xeb24,0x3df0,0x3488,0x4636,0x0dd7,0x3fe2,0x6dc4,0xdec5,0xda53,0x401d,0xba66,0xacad,0x518f,0x4048,0x20f7,0xa9e0,0x90aa,0x4068,0xcf58,0xc264,0x738f,0x4080,0x34d8,0x6c74,0x343a,0x408d,0x972a,0x21d6,0x0e35,0x4090,0xffb3,0x5de8,0x6c48,0x4081};static unsigned short Q[] = {/*0x0000,0x0000,0x0000,0x3ff0,*/0x23cc,0xfd7c,0x74d5,0x402a,0x7365,0xfee1,0xad42,0x4055,0x610d,0x246f,0x2f01,0x4076,0x41d0,0x02f6,0x7dab,0x408e,0x7151,0xfca4,0x7fa2,0x409c,0xf4ff,0xdafa,0x8cac,0x40a1,0xede2,0x0192,0xe2a7,0x4099,0x42d6,0x60c4,0x6c48,0x4081};static unsigned short R[] = {0x9b62,0x5042,0x0dd7,0x3fe2,0xc5a6,0xebb8,0x67e6,0x3ff4,0xa71a,0xf436,0x1381,0x4014,0x0c0c,0x58dd,0xa40e,0x4018,0x960e,0x9718,0xa393,0x401d,0x0367,0x0a47,0xd4b8,0x4007};static unsigned short S[] = {/*0x0000,0x0000,0x0000,0x3ff0,*/0xce21,0x0917,0x1590,0x4002,0x4cfd,0x21d8,0xcac5,0x4022,0x2c4d,0x7f05,0x1910,0x4028,0x7ff5,0x959c,0x14d9,0x4031,0x26c1,0xaa63,0x37ca,0x4023,0x2d90,0x5ab6,0xf3de,0x400a};static unsigned short T[] = {0x5d88,0x1e37,0x35bf,0x4023,0x067f,0x4e9e,0x81aa,0x4056,0x35b7,0xbcb4,0x7002,0x40a1,0xef90,0x3c72,0x5b53,0x40bb,0x13dc,0xa442,0x2509,0x40eb};static unsigned short U[] = {/*0x0000,0x0000,0x0000,0x3ff0,*/0xa6ba,0x3fef,0xc7e6,0x4040,0x3aee,0x14c6,0x4add,0x4080,0xfd12,0xe680,0xf252,0x40b1,0x7c0a,0x0101,0x1940,0x40d6,0xf567,0x9dc8,0x0e6c,0x40e8};#define UTHRESH 37.519379347#endif#ifdef MIEEEstatic unsigned short P[] = {0x3df0,0xeb24,0xa24f,0x6479,0x3fe2,0x0dd7,0x4636,0x3488,0x401d,0xda53,0xdec5,0x6dc4,0x4048,0x518f,0xacad,0xba66,0x4068,0x90aa,0xa9e0,0x20f7,0x4080,0x738f,0xc264,0xcf58,0x408d,0x343a,0x6c74,0x34d8,0x4090,0x0e35,0x21d6,0x972a,0x4081,0x6c48,0x5de8,0xffb3};static unsigned short Q[] = {0x402a,0x74d5,0xfd7c,0x23cc,0x4055,0xad42,0xfee1,0x7365,0x4076,0x2f01,0x246f,0x610d,0x408e,0x7dab,0x02f6,0x41d0,0x409c,0x7fa2,0xfca4,0x7151,0x40a1,0x8cac,0xdafa,0xf4ff,0x4099,0xe2a7,0x0192,0xede2,0x4081,0x6c48,0x60c4,0x42d6};static unsigned short R[] = {0x3fe2,0x0dd7,0x5042,0x9b62,0x3ff4,0x67e6,0xebb8,0xc5a6,0x4014,0x1381,0xf436,0xa71a,0x4018,0xa40e,0x58dd,0x0c0c,0x401d,0xa393,0x9718,0x960e,0x4007,0xd4b8,0x0a47,0x0367};static unsigned short S[] = {0x4002,0x1590,0x0917,0xce21,0x4022,0xcac5,0x21d8,0x4cfd,0x4028,0x1910,0x7f05,0x2c4d,0x4031,0x14d9,0x959c,0x7ff5,0x4023,0x37ca,0xaa63,0x26c1,0x400a,0xf3de,0x5ab6,0x2d90};static unsigned short T[] = {0x4023,0x35bf,0x1e37,0x5d88,0x4056,0x81aa,0x4e9e,0x067f,0x40a1,0x7002,0xbcb4,0x35b7,0x40bb,0x5b53,0x3c72,0xef90,0x40eb,0x2509,0xa442,0x13dc};static unsigned short U[] = {0x4040,0xc7e6,0x3fef,0xa6ba,0x4080,0x4add,0x14c6,0x3aee,0x40b1,0xf252,0xe680,0xfd12,0x40d6,0x1940,0x0101,0x7c0a,0x40e8,0x0e6c,0x9dc8,0xf567};#define UTHRESH 37.519379347#endif#ifdef ANSIPROTextern double polevl ( double, void *, int );extern double p1evl ( double, void *, int );extern double exp ( double );extern double log ( double );extern double fabs ( double );double erf ( double );double erfc ( double );#elsedouble polevl(), p1evl(), exp(), log(), fabs();double erf(), erfc();#endifdouble ndtr(a)double a;{double x, y, z;x = a * SQRTH;z = fabs(x);if( z < SQRTH ) y = 0.5 + 0.5 * erf(x);else { y = 0.5 * erfc(z); if( x > 0 ) y = 1.0 - y; }return(y);}double erfc(a)double a;{double p,q,x,y,z;if( a < 0.0 ) x = -a;else x = a;if( x < 1.0 ) return( 1.0 - erf(a) );z = -a * a;if( z < -MAXLOG ) {under: mtherr( "erfc", UNDERFLOW ); if( a < 0 ) return( 2.0 ); else return( 0.0 ); }z = exp(z);if( x < 8.0 ) { p = polevl( x, P, 8 ); q = p1evl( x, Q, 8 ); }else { p = polevl( x, R, 5 ); q = p1evl( x, S, 6 ); }y = (z * p)/q;if( a < 0 ) y = 2.0 - y;if( y == 0.0 ) goto under;return(y);}double erf(x)double x;{double y, z;if( fabs(x) > 1.0 ) return( 1.0 - erfc(x) );z = x * x;y = x * polevl( z, T, 4 ) / p1evl( z, U, 5 );return( y );}
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