Class CumulativeNormalInverse
- java.lang.Object
-
- dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction
-
- dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction
-
- dev.nm.analysis.function.special.gaussian.CumulativeNormalInverse
-
- All Implemented Interfaces:
Function<Vector,Double>
,RealScalarFunction
,UnivariateRealFunction
public class CumulativeNormalInverse extends AbstractUnivariateRealFunction
The inverse of the cumulative standard Normal distribution function is defined as: \[ N^{-1}(u) /] This implementation uses the Beasley-Springer-Moro algorithm. It has a maximum absolute error of 3e-9 out to seven standard deviations. The error is maximal when u is around 0.5. The R equivalent function isqnorm
.- See Also:
- "Moro, B, The full monte. Risk 8 (Feb): 57-58, 1995"
- Wikipedia: Cumulative distribution function
-
-
Nested Class Summary
-
Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function
Function.EvaluationException
-
-
Constructor Summary
Constructors Constructor Description CumulativeNormalInverse()
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
evaluate(double u)
Evaluate y = f(x).-
Methods inherited from class dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction
evaluate
-
Methods inherited from class dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction
dimensionOfDomain, dimensionOfRange
-
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
-
Methods inherited from interface dev.nm.analysis.function.Function
dimensionOfDomain, dimensionOfRange
-
-
-
-
Method Detail
-
evaluate
public double evaluate(double u)
Description copied from interface:UnivariateRealFunction
Evaluate y = f(x).- Parameters:
u
- x- Returns:
- f(x)
-
-