Computational issues with @cnorm

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Novi
Posts: 44
Joined: Sun May 16, 2010 11:48 am

Computational issues with @cnorm

Postby Novi » Tue Aug 09, 2011 5:12 am

Hello everybody!
Once again a very geeky question for you, I hope there is somebody out there who knows the answer...
I searched the manual many and many times but I couldn't find out how does Eviews compute the @cnorm function: clearly it is a complex one, involving the computation of an integral and consequent approximation, nevertheless no where it is explained what's behind the command @cnorm.

Does any of you know more about it?

Thanks so much

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Computational issues with @cnorm

Postby EViews Glenn » Tue Aug 09, 2011 9:37 am

It's based on near-minimax approximations to the error function, since the cumulative normal can be written as a function of the former. "Rational Chebyshev approximations for the error function" W. J. Cody, Math. Comp., 1969, PP. 631-638.

Novi
Posts: 44
Joined: Sun May 16, 2010 11:48 am

Re: Computational issues with @cnorm

Postby Novi » Tue Aug 09, 2011 11:30 am

Thanks a lot Glenn :)


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