[Octave-bug-tracker] [bug #29543] normcdf lacks precision on the tails of the distribution

[Guido Walter Pettinari]

Follow-up Comment #2, bug #29543 (project octave):

UPDATE:
I wrote an oct-file function that wraps the GSL function to compute the
normal CDF, i.e. "gsl_cdf_gaussian_P".

It works fine (it agrees with Mathematica and Matlab for all the cases I
considered) and it is from 1.2 to 5 times faster than Octave's "normcdf".

You can find the relevant code attached; I compiled it with the following
command:

mkoctfile gaussian_cdf.cc gaussian_pdfcdf.cc -L/opt/local/lib -lgsl
-lgslcblas

Obviously you should specify the directory that contains GSL libraries
instead of /opt/local/lib.

I hope it can be useful.

Cheers,

Guido



(file #20216)
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