NAG FL Interfaces15aqf (compcdf_​normal_​vector)

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1Purpose

s15aqf returns an array of values of the complement of the cumulative Normal distribution function, $Q\left(x\right)$.

2Specification

Fortran Interface
 Subroutine s15aqf ( n, x, f,
 Integer, Intent (In) :: n Integer, Intent (Inout) :: ifail Real (Kind=nag_wp), Intent (In) :: x(n) Real (Kind=nag_wp), Intent (Out) :: f(n)
#include <nag.h>
 void s15aqf_ (const Integer *n, const double x[], double f[], Integer *ifail)
The routine may be called by the names s15aqf or nagf_specfun_compcdf_normal_vector.

3Description

s15aqf evaluates approximate values for the complement of the cumulative Normal distribution function
 $Q(x) = 12π ∫x∞ e-u2/2 du ,$
for an array of arguments ${x}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,n$.
The routine is based on the fact that
 $Q(x) = 12 erfc(x2)$
and it calls s15adf to obtain the necessary value of $\mathit{erfc}$, the complementary error function.

4References

NIST Digital Library of Mathematical Functions

5Arguments

1: $\mathbf{n}$Integer Input
On entry: $n$, the number of points.
Constraint: ${\mathbf{n}}\ge 0$.
2: $\mathbf{x}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Input
On entry: the argument ${x}_{\mathit{i}}$ of the function, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
3: $\mathbf{f}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Output
On exit: $Q\left({x}_{i}\right)$, the function values.
4: $\mathbf{ifail}$Integer Input/Output
On entry: ifail must be set to $0$, $-1$ or $1$ to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of $0$ causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of $-1$ means that an error message is printed while a value of $1$ means that it is not.
If halting is not appropriate, the value $-1$ or $1$ is recommended. If message printing is undesirable, then the value $1$ is recommended. Otherwise, the value $0$ is recommended. When the value $-\mathbf{1}$ or $\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit: ${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see Section 6).

6Error Indicators and Warnings

If on entry ${\mathbf{ifail}}=0$ or $-1$, explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
${\mathbf{ifail}}=1$
On entry, ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{n}}\ge 0$.
${\mathbf{ifail}}=-99$
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
${\mathbf{ifail}}=-399$
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
${\mathbf{ifail}}=-999$
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7Accuracy

Because of its close relationship with $\mathit{erfc}$ the accuracy of this routine is very similar to that in s15adf. If $\epsilon$ and $\delta$ are the relative errors in result and argument, respectively, then in principle they are related by
 $|ε|≃ | x e -x2/2 2πQ(x) δ| .$
For $x$ negative or small positive this factor is always less than $1$ and accuracy is mainly limited by machine precision. For large positive $x$ we find $\epsilon \sim {x}^{2}\delta$ and hence to a certain extent relative accuracy is unavoidably lost. However, the absolute error in the result, $E$, is given by
 $|E|≃ | x e -x2/2 2π δ|$
and since this factor is always less than one absolute accuracy can be guaranteed for all $x$.

8Parallelism and Performance

s15aqf is not threaded in any implementation.

None.

10Example

This example reads values of the argument $x$ from a file, evaluates the function at each value of $x$ and prints the results.

10.1Program Text

Program Text (s15aqfe.f90)

10.2Program Data

Program Data (s15aqfe.d)

10.3Program Results

Program Results (s15aqfe.r)