Interface StandardCumulativeNormal

  • All Known Implementing Classes:
    CumulativeNormalHastings, CumulativeNormalMarsaglia

    public interface StandardCumulativeNormal
    The cumulative Normal distribution function describes the probability of a Normal random variable falling in the interval \((-\infty, x]\). It is defined as: /[ F(x;\,\mu,\sigma^2) = \Phi\left(\frac{x-\mu}{\sigma}\right) = \frac12\left[\, 1 + \operatorname{erf}\left(\frac{x-\mu}{\sigma\sqrt{2}}\right)\,\right],\quad x\in\mathbb{R} /]

    The R equivalent function is pnorm.

    See Also:
    Wikipedia: Cumulative distribution function
    • Method Detail

      • evaluate

        double evaluate​(double x)
        Evaluate \(F(x;\,\mu,\sigma^2)\).
        Parameters:
        x - x
        Returns:
        \(F(x;\,1,1)\)