Approximating the Cumulative Distribution Function of the Normal Distribution
A. Choudhury, S. Roy, and P. Sarkar (2007). Approximating the Cumulative Distribution Function of the Normal Distribution . Journal of Statistical Research, Vol. 41, No. 1, pp. 59-67.
Abstract
Over the years, a number of approximations to the cdf of the Normal distribution have been proposed. How does one make a choice among them? This paper compares their performance with a view to identifying the best among them. Our analysis reveals that a uniformly best approximation formula does not exist. Locally best are identified. Finally we combine the locally best approximations to obtain a combined formula with a very high accuracy. A subroutine is presented.