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NormalInverse Method |
Normal (Gaussian) inverse cumulative distribution function.
Namespace: Accord.Math
Assembly: Accord.Math (in Accord.Math.dll) Version: 3.8.0
SyntaxRequest Example
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Returns the value, x, for which the area under the Normal (Gaussian) probability density function (integrated from minus infinity to x) is equal to the argument y (assumes mean is zero, variance is one).
Parameters
- y0
- Type: SystemDouble
Return Value
Type: DoubleReturns the value, x, for which the area under the Normal (Gaussian) probability density function (integrated from minus infinity to x) is equal to the argument y (assumes mean is zero, variance is one).
RemarksFor small arguments 0 < y < exp(-2), the program computes z = sqrt( -2.0 * log(y) ); then the approximation is x = z - log(z)/z - (1/z) P(1/z) / Q(1/z).
There are two rational functions P/Q, one for 0 < y < exp(-32) and the other for y up to exp(-2). For larger arguments, w = y - 0.5, and x/sqrt(2pi) = w + w^3 * R(w^2)/S(w^2)).
See Also