Cumul_normal

Definition:

P = cumul\_normal(x) evaluates the cumulative Normal distribution function

P(x)=\frac 1{\sqrt{2\pi }}\int_{-\infty }^xe^{\frac{-u^2}2}du

The function is based on the fact that

P(x)=\frac 12 erfc(\frac{-x}{\sqrt{2}})


For more information please review the s15abc function in the NAG document.

Parameters:

x (input, double)
The argument x of the function.
p (output, double)
The value of cumulative Normal distribution function