On Tue, 31 Jan 2006, Morey, Richard D (UMC-Student) wrote:
> I am using pnorm() with the log.p=T argument to get approximations to ln
> \Phi(x) and qnorm with the log.p=T argument to get estimates of
> \Phi^{-1}(exp(x)). What approximations are used in these two functions
> (I noticed in the source pnorm.c it doesn't look like Abramowitz and
> Stegen) and where can I find the citation?
?qnorm says
'qnorm' is based on Wichura's algorithm AS 241 which provides
precise results up to about 16 digits.
You can also see this at src/nmath/qnorm.c in the sources.
For pnorm.c, the comments describe the origins of the main approximation.
There are other distribution function approximations in R which are based
on undocumented ideas, but these are fairly well documented, especially
qnorm.
--
Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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