[Scipy-tickets] [SciPy] #1614: logcdf function of normal distribution (scipy.stats) can not handle a wide enough range of values

SciPy Trac scipy-tickets@scipy....
Sun Apr 1 10:47:30 CDT 2012


#1614: logcdf function of normal distribution (scipy.stats) can not handle a wide
enough range of values
-------------------------------------+--------------------------------------
 Reporter:  andrewschein             |       Owner:  somebody    
     Type:  defect                   |      Status:  needs_review
 Priority:  normal                   |   Milestone:  0.11.0      
Component:  scipy.stats              |     Version:  devel       
 Keywords:  normal distribution cdf  |  
-------------------------------------+--------------------------------------

Comment(by pv):

 The taylor expansion gives unfortunately only relative accuracy of order
 1e-4. The fix should also add the rest of the terms in the asymptotic
 expansion:
 {{{
 log(ndtr(z)) = -.5*log(2*pi) - log(-z) - z**2/2
                + log(1 + sum_{m=1}^{infinity} 1*3*...*(2*m-1) / z**(2*m)
 }}}
 the number of terms in the sum should be chosen so that the last term is
 less than the floating-point epsilon.

-- 
Ticket URL: <http://projects.scipy.org/scipy/ticket/1614#comment:7>
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