On 16-Nov-05 Olivia Lau wrote: > Hi, > > I'm trying to find a way to take evaluate the Normal CDF over an > interval and return the result on the log scale. This works, but I > think it isn't numerically stable: > > log(pnorm(a, mean = x, sd = y) - pnorm(b, mean = x, sd = y)) > > Does anyone know of a single function that does the above? Or knows of > a way to make it more stable? I'd really appreciate any suggestions! > > Thanks, > > Olivia
A little more detail might be helpful. Your formula is simple enough in itself, and you should not be getting numerical stability problems for reasonable values of (a-x)/y or (b-x)/y (say in the range -4 to 4). And I assume you're being careful that a > b! So for what values of your variables are problems arising? And how do they manifest themselves? If it's due to large values of (a-x)/y etc., then possibly an asymptotic approximation may serve. There are some good ones around. Can you tell us a bit more? Best wishes, Ted. -------------------------------------------------------------------- E-Mail: (Ted Harding) <[EMAIL PROTECTED]> Fax-to-email: +44 (0)870 094 0861 Date: 16-Nov-05 Time: 20:37:47 ------------------------------ XFMail ------------------------------ ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html