3.5.3.1.5 Cumul_normal

Definition:

\(P = cumul\_normal(x)\) evaluates the cumulative Normal distribution function

\[P(x)=\frac 1{\sqrt{2\pi }}\int_{-\infty }^xe^{\frac{-u^2}2}du\]

The function is based on the fact that

\[P(x)=\frac 12 erfc(\frac{-x}{\sqrt{2}})\]

For more information please review the s15abc function in the NAG document.

Parameters:

x (input, double)

The argument x of the function.

\(p\) (output, double)

The value of cumulative Normal distribution function