Package dev.nm.analysis.function.special.gaussian

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 is qnorm.

See Also:

  • Constructor Details

    • CumulativeNormalInverse

      public CumulativeNormalInverse()

  • Method Details

    • evaluate

      public double evaluate(double u)
      Description copied from interface: UnivariateRealFunction
      Evaluate y = f(x).
      Parameters:
      u - x
      Returns:
      f(x)