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Approximation of the inverse Poisson cumulative distribution function

Abstract:

New approximations for the inverse of the incomplete gamma function are derived, and these are used to develop efficient evaluations of the inverse Poisson cumulative distribution function. An asymptotic approximation based on the standard Normal approximation is particularly good for CPUs with MIMD cores, while for GPUs and other hardware with vector units a second asymptotic approximation based on Temme’s approximation of the incomplete gamma function is more efficient due to conditional br...

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Publication status:
Accepted
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Role:
Author
Publisher:
Association for Computing Machinery Publisher's website
Journal:
ACM Transactions on Mathematical Software Journal website
EISSN:
1557-7295
ISSN:
0098-3500
URN:
uuid:1bcbde9d-5d24-47f6-b842-745cea2f4c25
Source identifiers:
508959
Local pid:
pubs:508959

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