(Received August 10, 1989; revised November 26, 1990)
Abstract. The Laplace continued fraction is derived through a power series. It provides both upper bounds and lower bounds of the normal tail probability \bar Phi(x), it is simple, it converges for x > 0, and it is by far the best approximation for x > 3. The Laplace continued fraction is rederived as an extreme case of admissible bounds of the Mills' ratio, \bar Phi(x)/phi(x), in the family of ratios of two polynomials subject to a monotone decreasing absolute error. However, it is not optimal at any finite x. Convergence at the origin and local optimality of a subclass of admissible bounds are investigated. A modified continued fraction is proposed. It is the sharpest tail bound of the Mills' ratio, it has a satisfactory convergence rate for x > 1 and it is recommended for the entire range of x if a maximum absolute error of 10-4 is required.
Key words and phrases: Admissibility, approximation, convergence, Mills' ratio, optimality, rational bound.
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