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org/wiki/Error_function

Error function

From Wikipedia, the free encyclopedia

Gauss error function or probability integral[1]) is

a special function (non-elementary) of sigmoid

shape which occurs in probability, statistics and

partial differential equations. It is defined as:

is defined as

The complex error function, denoted w(x) and also known as the Faddeeva function, is defined as

Contents

1 Properties

1.1 Taylor series

1.2 Inverse function

1.3 Asymptotic expansion

2 Approximation with elementary functions

3 Applications

4 Related functions

4.1 Generalized error functions

4.2 Iterated integrals of the complementary error function

5 Implementations

6 Table of values

7 See also

7.1 Related functions

7.1.1 In probability

8 References

9 External links

Properties

1 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

Plots in the complex plane

The integrand ƒ = exp(−z2) and ƒ = erf(z) are shown in the complex z-plane

in figures 2 and 3. Level of Im(ƒ) = 0 is shown with a thick green line.

Negative integer values of Im(ƒ) are shown with thick red lines. Positive

integer values of are shown with thick blue lines. Intermediate levels

of Im(ƒ) = constant are shown with thin green lines. Intermediate levels of

Re(ƒ) = constant are shown with thin red lines for negative values and with

thin blue lines for positive values.

Integrand exp(−z2)

At the real axis, the erf(z) approach unity at z → +∞ and −1 at z → −∞. At

the imaginary axis, it tends to ±i∞.

Taylor series

at infinity) and its Taylor expansion always converges.

2

elementary functions, but by expanding the integrand e−z into its Taylor

series and integrating term by term, one obtains the error function's Taylor

series as:

erf(z)

which holds for every complex number z. The denominator terms are sequence A007680 in the OEIS.

For iterative calculation of the above series, the following alternative formulation may be useful:

because expresses the multiplier to turn the kth term into the (k + 1)th term (considering z as the first

term).

The derivative of the error function follows immediately from its definition:

2 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

Inverse function

where c0 = 1 and

So we have the series expansion (note that common factors have been canceled from numerators and denominators):

(After cancellation the numerator/denominator fractions are entries A092676/A132467 in the OEIS; without

cancellation the numerator terms are given in entry A002067.) Note that error function's value at ±∞ is equal to ±1.

Asymptotic expansion

A useful asymptotic expansion of the complementary error function (and therefore also of the error function) for large x

is

This series diverges for every finite x, and its meaning as asymptotic expansion is that, for any one has

as .

For large enough values of x, only the first few terms of this asymptotic expansion are needed to obtain a good

approximation of erfc(x) (while for not too large values of x note that the above Taylor expansion at 0 provides a very

fast convergence).

One approximation is given by

3 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

where

Such a fit gives at least one correct decimal digit of function erf in vicinity of the real axis. Using a ≈ 0.140012, the

largest error of the approximation is about 0.00012.[2]

This approximation can also be inverted to calculate the inverse error function:

Applications

When the results of a series of measurements are described by a normal distribution with standard deviation and

expected value 0, then is the probability that the error of a single measurement lies between −a and +a, for

positive a. This is useful, for example, in determining the bit error rate of a digital communication system.

The error and complementary error functions occur, for example, in solutions of the heat equation when boundary

conditions are given by the Heaviside step function.

Related functions

The error function is essentially identical to the standard normal cumulative distribution function, denoted Φ, also

named norm(x) by software languages, as they differ only by scaling and translation. Indeed,

Consequently, the error function is also closely related to the Q-function, which is the tail probability of the standard

normal distribution. The Q-function can be expressed in terms of the error function as

The inverse of is known as the normal quantile function, or probit function and may be expressed in terms of the

inverse error function as

The standard normal cdf is used more often in probability and statistics, and the error function is used more often in

other branches of mathematics.

The error function is a special case of the Mittag-Leffler function, and can also be expressed as a confluent

4 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

It has a simple expression in terms of the Fresnel integral. In terms of the Regularized Gamma function P and the

incomplete gamma function,

grey curve: E1(x) = (1 − e −x )/

red curve: E2(x) = erf(x)

green curve: E3(x)

blue curve: E4(x)

gold curve: E5(x).

E2(x) is the error function, erf(x).

After division by n!, all the En for odd n look similar (but not identical) to each other. Similarly, the En for even n look

similar (but not identical) to each other after a simple division by n!. All generalised error functions for n > 0 look

similar on the positive x side of the graph.

These generalised functions can equivalently be expressed for x > 0 using the Gamma function and incomplete Gamma

function:

Therefore, we can define the error function in terms of the incomplete Gamma function:

5 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

and

Implementations

C/C++: C99 provides the functions double erf(double x) and double erfc(double x) in the header math.h

or cmath. The pairs of functions {erff(),erfcf()} and {erfl(),erfcl()} take and return values of type float

and long double respectively. GCC makes these functions available in C++ too.

Fortran: gfortran provides the intrinsic real function ERF(X) and the double precision function DERF(X).

Python: An implementation of erf for complex arguments is in SciPy as scipy.special.erf()[3] and also in the

arbitrary-precision arithmetic mpmath library as mpmath.erf()

Haskell (programming language): An erf package[4] exists that provides a typeclass for the error function and

implementations for the native floating point types

Table of values

0.00 0.0000000 1.0000000 1.30 0.9340079 0.0659921

0.05 0.0563720 0.9436280 1.40 0.9522851 0.0477149

0.10 0.1124629 0.8875371 1.50 0.9661051 0.0338949

0.15 0.1679960 0.8320040 1.60 0.9763484 0.0236516

0.20 0.2227026 0.7772974 1.70 0.9837905 0.0162095

0.25 0.2763264 0.7236736 1.80 0.9890905 0.0109095

6 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

0.35 0.3793821 0.6206179 2.00 0.9953223 0.0046777

0.40 0.4283924 0.5716076 2.10 0.9970205 0.0029795

0.45 0.4754817 0.5245183 2.20 0.9981372 0.0018628

0.50 0.5204999 0.4795001 2.30 0.9988568 0.0011432

0.55 0.5633234 0.4366766 2.40 0.9993115 0.0006885

0.60 0.6038561 0.3961439 2.50 0.9995930 0.0004070

0.65 0.6420293 0.3579707 2.60 0.9997640 0.0002360

0.70 0.6778012 0.3221988 2.70 0.9998657 0.0001343

0.75 0.7111556 0.2888444 2.80 0.9999250 0.0000750

0.80 0.7421010 0.2578990 2.90 0.9999589 0.0000411

0.85 0.7706681 0.2293319 3.00 0.9999779 0.0000221

0.90 0.7969082 0.2030918 3.10 0.9999884 0.0000116

0.95 0.8208908 0.1791092 3.20 0.9999940 0.0000060

1.00 0.8427008 0.1572992 3.30 0.9999969 0.0000031

1.10 0.8802051 0.1197949 3.40 0.9999985 0.0000015

1.20 0.9103140 0.0896860 3.50 0.9999993 0.0000007

See also

Related functions

Gaussian function, derivative

Dawson function, renormalized imaginary error function

In probability

Normal distribution

Normal cumulative distribution function, a scaled and shifted form of error function

Probit, the inverse or quantile function of the normal CDF

Q-function, the tail probability of the normal distribution

References

1. ^ "The probability integral" (http://www.maths.abdn.ac.uk/~igc/tch/ma2001/notes/node61.html) .

http://www.maths.abdn.ac.uk/~igc/tch/ma2001/notes/node61.html. Retrieved 10 September 2010. and on MathWorld

(http://mathworld.wolfram.com/ProbabilityIntegral.html)

2. ^ Winitzki, Sergei (6 February 2008). "A handy approximation for the error function and its inverse"

(http://homepages.physik.uni-muenchen.de/~Winitzki/erf-approx.pdf) (PDF). http://homepages.physik.uni-muenchen.de

/~Winitzki/erf-approx.pdf.

3. ^ http://docs.scipy.org/doc/scipy/reference/generated/scipy.special.erf.html

4. ^ http://hackage.haskell.org/package/erf

Abramowitz, Milton; Stegun, Irene A., eds. (1965), "Chapter 7" (http://www.math.sfu.ca/~cbm/aands

/page_297.htm) , Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, New

York: Dover, pp. 297, MR0167642 (http://www.ams.org/mathscinet-getitem?mr=0167642) ,

ISBN 978-0486612720, http://www.math.sfu.ca/~cbm/aands/page_297.htm.

Temme, N. M. (2010), "Error Functions, Dawson’s and Fresnel Integrals" (http://dlmf.nist.gov/7) , in Olver, Frank

W. J.; Lozier, Daniel M.; Boisvert, Ronald F. et al., NIST Handbook of Mathematical Functions, Cambridge

University Press, ISBN 978-0521192255, http://dlmf.nist.gov/7

7 of 8 04-03-2011 11:22 AM

Error function - Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Error_function

External links

MathWorld – Erf (http://mathworld.wolfram.com/Erf.html)

Retrieved from "http://en.wikipedia.org/wiki/Error_function"

Categories: Special functions | Special hypergeometric functions | Gaussian function

Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may apply. See

Terms of Use for details.

Wikipedia® is a registered trademark of the Wikimedia Foundation, Inc., a non-profit organization.

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