Bounding Standard Gaussian Tail Probabilities

Details Bounding Standard Gaussian Tail Probabilities Bounding Standard Gaussian Tail Probabilities

2010-12-09

arxiv.org/abs/1012.2063v3

Mathematics

Statistics Theory

Scientific paper

We review various inequalities for Mills' ratio (1 - \Phi)/\phi, where \phi
and \Phi denote the standard Gaussian density and distribution function,
respectively. Elementary considerations involving finite continued fractions
lead to a general approximation scheme which implies and refines several known
bounds.

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