|
PureBytes Links
Trading Reference Links
|
PS,
I used the Maclaurin series for the error function found here:
http://mathworld.wolfram.com/Erf.html
and used it in this:
http://mathworld.wolfram.com/NormalDistribution.html
formula ( 1 ) and ( 9 ).
Johan
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> 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@> 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
> > >
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|