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

From: Guido Walter Pettinari
Subject: [Octave-bug-tracker] [bug #29543] normcdf lacks precision on the tails of the distribution
Date: Tue, 13 Apr 2010 18:10:09 +0000
User-agent: Mozilla/5.0 (Macintosh; U; Intel Mac OS X 10.6; en-US; rv: Gecko/20100401 Firefox/3.6.3

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

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

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

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

I hope it can be useful.



(file #20216)

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