evaluates an approximate value for the cumulative Normal distribution function
The function is based on the fact that
and it calls nag_erfc (s15adc)
to obtain a value of
for the appropriate argument.
Because of its close relationship with
, the accuracy of this function is very similar to that in nag_erfc (s15adc)
are the relative errors in result and argument, respectively, they are in principle related by
so that the relative error in the argument,
, is amplified by a factor,
, in the result.
However, the absolute error in the result,
, is given by
so absolute accuracy can be guaranteed for all