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

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

All Implemented Interfaces:

Function, RealScalarFunction

public class CumulativeNormalInverse
extends UnivariateRealFunction

This computes an approximation to the quantile function of the cumulative Normal distribution function, N-1(x)

We use 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:

• "Moro, B. (1995). The full monte. Risk 8 (Feb): 57-58."
• Wikipedia: Cumulative distribution function

Nested Class Summary

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

Function.EvaluationException

Constructor Summary

CumulativeNormalInverse()

Method Summary

double

evaluate(double u) 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

CumulativeNormalInverse

public CumulativeNormalInverse()

Method Detail

evaluate

public double evaluate(double u)

Description copied from class: UnivariateRealFunction

Compute f(x).

Specified by:

evaluate in class UnivariateRealFunction

Parameters:

u - x

Returns:

f(x)