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approximation to ln \Phi(x)

1 message · Brian Ripley

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On Tue, 31 Jan 2006, Morey, Richard D (UMC-Student) wrote:

            
?qnorm says

      'qnorm' is based on Wichura's algorithm AS 241 which provides
      precise results up to about 16 digits.

You can also see this at src/nmath/qnorm.c in the sources.

For pnorm.c, the comments describe the origins of the main approximation.

There are other distribution function approximations in R which are based 
on undocumented ideas, but these are fairly well documented, especially 
qnorm.