Question

Anyone have the EXCEL NORMSDIST Funtion in TSQL - USER DEFINED Function

Asked by: ITUCIRL

I have got code fomr the Net to replicate the NORMSDIST function VB that i converted to TSQL, however it close to EXCEL until the higher negative numbers.  all positive number come back with the same a excel and on the negative side it close but starts to deviate aroun -1.5 and completely different to the EXCEL function by -2.   Any help would be very very very helpfuly.

CREATE FUNCTION UCI_FN_STANDARD_NORM_CUMUL_DISTRIB (@X NUMERIC(19,16))

RETURNS NUMERIC(19,16)

AS
BEGIN

 DECLARE       @Z NUMERIC (19,16),
            @P  NUMERIC (19,16),
             @T  NUMERIC (19,16),  
            @B1  NUMERIC (19,16),
            @B2  NUMERIC (19,16),
            @B3  NUMERIC (19,16),      
            @B4  NUMERIC (19,16),
            @B5  NUMERIC (19,16)
   
      
               SET @Z = 1 / SQRT(2 * 3.14159265359) *  EXP((POWER(-@X,2) / 2)*-1)
            SET @P = 0.2316419
              SET @B1 = 0.31938153
               SET @B2 = -0.356563782
               SET @B3 = 1.781477937
               SET @B4 = -1.821255978
               SET @B5 = 1.330274429

            SET @T = 1 / (1 + @P * @X)

            RETURN  1 - @Z * (@B1 * @T + @B2 * POWER(@T, 2) + @B3 * POWER(@T,3) + @B4 * POWER(@T, 4) + @B5 * POWER(@T, 5)      )

END

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Asked On
2009-11-05 at 09:40:02ID24875287
Topic

SQL Server 2005

Participating Experts
1
Points
500
Comments
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Answers

 

by: prabhakaranbkPosted on 2009-11-05 at 09:46:16ID: 25751956

Please check out the code below,

The code is from SQLServerCentral.com

IF EXISTS (SELECT * FROM sysobjects WHERE type = 'P' AND name = 'GET_NORMSDIST')
    BEGIN
        PRINT 'Dropping Procedure GET_NORMSDIST'
        DROP  Procedure  GET_NORMSDIST
    END
 
GO
 
PRINT 'Creating Procedure GET_NORMSDIST'
GO
CREATE Procedure GET_NORMSDIST
    @x float,
    @result float OUTPUT
AS
 
/******************************************************************************
**      File:
**      Name: GET_NORMSDIST
**      Desc:   '-- Equivalent of Excel''s NORMSDIST function
**           The relative error of the approximation has absolute value less
**              than 1.15e-120
 
**      This template can be customized:
**
**      Return values:
**
**      Called by:
**
**      Parameters:
**
**
*******************************************************************************
**      Change History
*******************************************************************************
**      Date:       Author:             Description:
**      --------        --------                -------------------------------------------
**
*******************************************************************************/
    declare @L float
    declare @K float
    declare @dCND float
    declare @pi float
 
    declare @a1 float
    declare @a2 float
    declare @a3 float
    declare @a4 float
    declare @a5 float
 
    select @L = 0.0
    select @K = 0.0
    select @dCND = 0.0
 
    select @a1 = 0.31938153
    select @a2 = -0.356563782
    select @a3 = 1.781477937
    select @a4 = -1.821255978
    select @a5 = 1.330274429
    select @pi = 3.1415926535897932384626433832795
 
    select @L = Abs(@x)
 
    if @L >= 30
    begin
        if sign(@x) = 1
            select @result = 1
        else
            select @result = 0
    end
    else
    begin
    -- perform calculation
 
        select @K = 1.0 / (1.0 + 0.2316419 * @L)
 
        select @dCND = 1.0 - 1.0 / Sqrt(2 * @pi) * Exp(-@L * @L / 2.0) *
            (@a1 * @K + @a2 * @K * @K + @a3 * POWER(@K, 3.0) + @a4 * POWER(@K, 4.0) + @a5 * POWER (@K, 5.0))
 
        if (@x < 0)
            select @result = 1.0 - @dCND
        else
            select @result = @dCND
 end
 
GO
 
GRANT EXEC ON GET_NORMSDIST TO PUBLIC
 
GO
                                              
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by: ITUCIRLPosted on 2009-11-06 at 02:21:17ID: 31650610

Very quick response  Many thanks for this.

Jan

20120131-EE-VQP-002

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