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Alternatives to Hastings' Approximation to the Inverse of the Normal Cumulative Distribution Function

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  • B. J. R. Bailey

Abstract

Two alternatives are given to Hastings' approximation to the inverse of the normal cumulative distribution function: one is adequate for the majority of practical problems, while the other is of use in the extreme tails. Both require fewer constants than Hastings' and have greater accuracy, particularly when measured in terms of relative error.

Suggested Citation

  • B. J. R. Bailey, 1981. "Alternatives to Hastings' Approximation to the Inverse of the Normal Cumulative Distribution Function," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(3), pages 275-276, November.
    • Handle: RePEc:bla:jorssc:v:30:y:1981:i:3:p:275-276
    DOI: 10.2307/2346351
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    Cited by:

    1. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
    2. Minjie Yu & Qiang Zhang & Dennis Yang, 2008. "Bankruptcy in long-term investments," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 777-794.
    3. Inkmann, Joachim, 1997. "Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model," Discussion Papers, Series II 339, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".

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