dpnorm | R Documentation |

Evaluates the difference between two *N(0,1)* cumulative distribution functions avoiding cancellation error.

dpnorm(x0,x1)

`x0` |
vector of lower values at which to evaluate standard normal distribution function. |

`x1` |
vector of upper values at which to evaluate standard normal distribution function. |

Equivalent to `pnorm(x1)-pnorm(x0)`

, but stable when `x0`

and `x1`

values are very close, or in the upper tail of the standard normal.

Simon N. Wood simon.wood@r-project.org

require(mgcv) x <- seq(-10,10,length=10000) eps <- 1e-10 y0 <- pnorm(x+eps)-pnorm(x) ## cancellation prone y1 <- dpnorm(x,x+eps) ## stable ## illustrate stable computation in black, and ## cancellation prone in red... par(mfrow=c(1,2),mar=c(4,4,1,1)) plot(log(y1),log(y0),type="l") lines(log(y1[x>0]),log(y0[x>0]),col=2) plot(x,log(y1),type="l") lines(x,log(y0),col=2)

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