Algorithm 885

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Algorithm 885: Computing the Logarithm of the Normal Distribution

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ACM Transactions on Mathematical Software (TOMS) archive
Volume 35 , Issue 3 (October 2008) table of contents

Article No. 20

Year of Publication: 2008

ISSN:0098-3500

Author

Jean Marie Linhart

StataCorp LP

Publisher

ACM New York, NY, USA

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Software for Computing the Logarithm of the Normal Distribution

ABSTRACT

We present and compare three C functions to compute the logarithm of the cumulative standard normal distribution. The first is a new algorithm derived from Algorithm 304’s calculation of the standard normal distribution via a series or continued fraction approximation, and it is good to the accuracy of the machine. The second is based on Algorithm 715’s calculation of the standard normal distribution via rational Chebyshev approximation. This is related to, and an improvement on, the algorithm for the logarithm of the normal distribution available in the software package R. The third is a new and simple algorithm that uses the compiler’s implementation of the error function, and complement of the error function, to compute the log of the normal distribution.

REFERENCES

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