On Nov 8, 2007, at 12:34 PM, Joey K Tuttle wrote:
Lovely! In praise for DOJ, erf and n01cdf are given on the H. page (although I didn't immediately think to look there :) There are a couple of subtle differences from the ones above, DOJ doesn't include the, apparently redundant, parens of your erf and n01cdf differs a bit, but their results are very close with no greater than 4.996e_16 difference in your example. In any case, thanks for the exposition -- certainly in the case of timing the original inner product, the generation of the random normal distributions should be excluded from the timing (as they were in MatLab).
Tsk, tsk. Look at my article in Vector Vol. 19, No. 3, on the Black- Scholes formula for financial calls and puts. This includes Ewart Shaw's normal distribution function N, given in Vector 18.4 on standard Normal distribution N(0,1) with mean 0 and variance 1. It uses the A&S 26.2.16, which uses the symbol H for the hypergeometric function.
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