com.numericalmethod.suanshu.analysis.function.special
Class CumulativeNormal

java.lang.Object
  com.numericalmethod.suanshu.analysis.function.rn2r1.UnivariateRealFunction
      com.numericalmethod.suanshu.analysis.function.special.CumulativeNormal

All Implemented Interfaces:

Function, RealScalarFunction

public class CumulativeNormal
extends UnivariateRealFunction

This computes an approximation to the cumulative Normal distribution function, N(x).

The R equivalent function is pnorm.

See Also:

• Wikipedia: Cumulative distribution function
• "Hastings, C., Jr. "Approximations for Digital Computers," Princeton University Press, Princeton, NJ. 1995."
• "Abramowitz, M., and Stegun, I.A. Handbook of Mathematical Functions, National Bureau of Standards, Washington, D.C. Reprinted by Dover, New York. 1964."
• "Marsaglia, G., Zaman, A., and Marsaglia, J.C.W. "Rapid evaluation of the inverse of the Normal distribution function," Statistics and Probability Letters 19:259-266. 1994."

Nested Class Summary

static class

CumulativeNormal.Method the methods available to compute the cumulative Normal

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Constructor Summary

CumulativeNormal()
Construct an instance to compute cumulative Normal function.

CumulativeNormal(CumulativeNormal.Method method)
Construct an instance to compute the cumulative Normal function.

Method Summary

double

evaluate(double x) Compute f(x).

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.UnivariateRealFunction

dimension4Domain, dimension4Range, evaluate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CumulativeNormal

public CumulativeNormal(CumulativeNormal.Method method)

Construct an instance to compute the cumulative Normal function.

Parameters:

method - the algorithm to use for computation

CumulativeNormal

public CumulativeNormal()

Construct an instance to compute cumulative Normal function. The algorithm to use is CumulativeNormal.Method.MARSAGLIA.

Method Detail

evaluate

public double evaluate(double x)

Description copied from class: UnivariateRealFunction

Compute f(x).

Specified by:

evaluate in class UnivariateRealFunction

Parameters:

x - x

Returns:

f(x)