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Evaluation of the normal distribution function

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Abstract

Known methods are described for evaluating the multivariate normal distribution function in general and in a number of special cases. Methods are presented for evaluation of the one-dimensional normal distribution function and its inverse.

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Translated from Itogi Nauki i Tekhniki, Seriya Teoriya Veroyatnostei, Matematicheskaya Statistika, Teoreticheskaya Kibernetika, Vol. 17, pp. 57–84, 1979.

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Martynov, G.V. Evaluation of the normal distribution function. J Math Sci 17, 1857–1875 (1981). https://doi.org/10.1007/BF01085187

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