Accurate RMM-Based Approximations for the CDF of the Normal Distribution

@article{Shore2005AccurateRA,
  title={Accurate RMM-Based Approximations for the CDF of the Normal Distribution},
  author={Haim Shore},
  journal={Communications in Statistics - Theory and Methods},
  year={2005},
  volume={34},
  pages={507 - 513}
}
  • H. Shore
  • Published 1 March 2005
  • Physics
  • Communications in Statistics - Theory and Methods
Abstract A variation of the RMM error distribution, used to model the exponential distribution, has recently been applied to derive a three-parameter approximation for the standard normal CDF, with a maximum absolute error of order (10)−5. In this short communication, a simple modification enhances the accuracy to the order of (10)−6. Another RMM-based approximation, based on the original RMM error distribution, achieves an absolute maximum error of (10)−7. The simplicity of the new non… 
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