Currently, I have a spreadsheet in which I need to calculate the
cumulative distribution function of the standard z, as well the inverse
of the cdf for p(x).
For the sake of speed(?), I am using Application.NormSDist and
Application.NormSInv.
NormSDist is respectable, but the accuracy of NormSInv is laughable. I
was thinking of substituting both functions with custom methods.
For NormSDist() I was thinking of using the algorithm in Numerical
Recipes, and for NormSInv() I was thinking of using P.J. Acklam's algorithm.
The function that I am evaluating is of the form: (all variables are double)
y = NormSDist( (NormSInv(x) - a * m) / Sqr (1 - a * a) )
and I would be evaluating this function approximately 6000 times.
Would the substitution of the canned functions with custom ones
hamstring my project?
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