Re: Confidence Levels?
I believe that f(x) = sqrt(1/(2pi))exp^(-x^2/2) is correct for sigma = 1 and u = 0. The expression
sqrt(1/2pi)exp[-(x-u)^2/(2*sigma)]
for the general formula has a typo. I think the correct formula is
sqrt(1/(2 pi))/sigma * exp(-(x-u)^2/(2*sigma^2)).
Magic man wanted to integrate f(x) from -x to x. As BruceZ stated, this does not have a solution among the elementary functions. If you allow more advanced functions, the integral is
I = erf(x/sqrt(2)).
For example with Excel, you can type +ERF(1/SQRT(2)) to get the 1 s.d. confidence level.
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