nag_prob_normal (g01eac) returns a one or two tail probability for the standard Normal distribution.
The lower tail probability for the standard Normal distribution,
is defined by:
is used, where erfc is the complementary error function, and is computed using nag_erfc (s15adc)
. For the upper tail probability the relationship
is used and for the two tail significance level probability twice the probability obtained from the absolute value of
When the two tail confidence probability is required the relationship
is used, where erf is the error function, and is computed using nag_erf (s15aec)
Accuracy is limited by machine precision
. For detailed error analysis see
and nag_erf (s15aec)
Four values of tail
are input and the probabilities calculated and printed.