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  1. Commons Statistics
  2. STATISTICS-52

High precision PDF for the Normal distribution

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Details

    • Improvement
    • Status: Closed
    • Minor
    • Resolution: Implemented
    • 1.0
    • 1.0
    • distribution
    • None

    Description

      The normal distribution PDF is computed using:

       

      Math.exp(-0.5 * x * x) / Math.sqrt(2 * Math.PI)
      

      The value x^2 can be computed to extended precision. This extra information in the round-off bits can increase the accuracy of the exponential function (see NUMBERS-177 under the title 'Accurate scaling by exp(z*z)').

       

      The effect of including the round-off bits on both accuracy and speed should be investigated.

       

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            Unassigned Unassigned
            aherbert Alex Herbert
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              Created:
              Updated:
              Resolved: