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Normal cumulative distribution function

`p = normcdf(x)`

`p = normcdf(x,mu)`

`p = normcdf(x,mu,sigma)`

`[p,pLo,pUp] = normcdf(x,mu,sigma,pCov)`

`[p,pLo,pUp] = normcdf(x,mu,sigma,pCov,alpha)`

`___ = normcdf(___,'upper')`

The

`normcdf`

function uses the complementary error function`erfc`

. The relationship between`normcdf`

and`erfc`

is$$\text{normcdf}(x)=\frac{1}{2}\text{erfc}\left(-\frac{x}{\sqrt{2}}\right).$$

The complementary error function

`erfc(x)`

is defined as$$\text{erfc}(x)=1-\text{erf}(x)=\frac{2}{\sqrt{\pi}}{\displaystyle {\int}_{x}^{\infty}{e}^{-{t}^{2}}dt}.$$

The

`normcdf`

function computes confidence bounds for`p`

by using the delta method.`normcdf(x,mu,sigma)`

is equivalent to`normcdf((x–mu)/sigma,0,1)`

. Therefore, the`normcdf`

function estimates the variance of`(x–mu)/sigma`

using the covariance matrix of`mu`

and`sigma`

by the delta method, and finds the confidence bounds of`(x–mu)/sigma`

using the estimates of this variance. Then, the function transforms the bounds to the scale of`p`

. The computed bounds give approximately the desired confidence level when you estimate`mu`

,`sigma`

, and`pCov`

from large samples.

`normcdf`

is a function specific to normal distribution. Statistics and Machine Learning Toolbox™ also offers the generic function`cdf`

, which supports various probability distributions. To use`cdf`

, create a`NormalDistribution`

probability distribution object and pass the object as an input argument or specify the probability distribution name and its parameters. Note that the distribution-specific function`normcdf`

is faster than the generic function`cdf`

.Use the

**Probability Distribution Function**app to create an interactive plot of the cumulative distribution function (cdf) or probability density function (pdf) for a probability distribution.

[1] Abramowitz, M., and I. A. Stegun. *Handbook of Mathematical
Functions*. New York: Dover, 1964.

[2] Evans, M., N. Hastings, and B. Peacock. *Statistical
Distributions*. 2nd ed., Hoboken, NJ: John Wiley & Sons, Inc., 1993.