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LandauDistribution - NumericIntegration

Since the convergence is different, it is necessary to use different equations for positive and negative λ.

λ ≥ 0

Since p(λ) has periodicity due to sin, this is used.

integrate px 1

integrad px

If evaluated here for each cycle of sin, the integration point can always be positive.

integrate px 2
integrate px 3

Evaluate the peak point of the integrated function. It can be seen that t < 1 always.

integrate px 4

Evaluate the upper bound.

integrate px 7
integrate px 5
integrate px 6

Similarly, a lower bound is required.

integrate px 8

λ < 0

For negative λ, do a variable transformation and use an equation with small oscillations that decay rapidly.

integrate nx 1

integrad nx

When λ → -∞, the integral J converges to 1.

integrate nx 3
integrate nx 2

Evaluate the upper bound.

integrate nx 4

Also, variable transformation is performed so that the integral interval is finite.

integrate nx 5
integrate nx 6

Reference

W.Börsch-Supan, "On the Evaluation of the Function Φ(λ) for Real Values of λ" (1961)

Result

PDF Precision 64
CDF Precision 64