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Johan, you're the man!
Thanks very much for this. Do you have any references of which
algorithm/approximation this originates from?
thx,
PS
--- In amibroker@xxxxxxxxxxxxxxx, "johsun" <joh.sun@xxx> wrote:
>
> Hello,
>
> this one works for me:
>
>
>
> function NORMDIST( x, mean, stddev, Cumulative ) {
>
> k = 2 / sqrt( 3.14159265 );
> z = ( x - mean ) / ( stddev * sqrt( 2 ) );
> q = k * ( z - z ^ 3 / 3 + z ^ 5 / 10 - z ^ 7 / 42 + z ^ 9 / 216
> - z ^ 11 / 1320 + z ^ 13 / 9360 - z ^ 15 / 75600 );
>
> if ( Cumulative ) {
> result = ( 1 + q ) / 2;
> }
>
> else {
> result = ( 1 / ( sqrt( 2 * 3.14159265 ) * stddev ) )
> * exp( -( x - mean ) ^ 2 / ( 2 * stddev ^ 2 ) );
> }
>
> return result;
>
> }
>
>
>
> regards Johan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@> wrote:
> >
> > I have various functions for normal distributions, but for some
> reason
> > none seem to be able to replicate Excel's NORMDIST
> (x,mean,stdev,TRUE).
> >
> > I've applied the Abramowitz & Stegun approximation to calculate
the
> > cumulative normal function. However, the pdf agrees with Excel's
> > NORMDIST(x,mean,stdev,FALSE), but the cdf does not match its
> NORMDIST
> > (x,mean,stdev,TRUE).
> >
> > I did read there have been criticisms expressed as to the
accuracy
> of
> > XL's approximations, but doubt this is applicable in this case.
> >
> > Any suggestions appreciated.
> >
> > PS
> >
>
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