CDF_Normal

java.lang.Object

velo.ladaalpha.fields.math.stats.CDF_Normal

public class CDF_Normal extends Object

This class contains routines to calculate the normal cumulative distribution function (CDF) and its inverse.

Version:: .5 --- June 7, 1996, .6 --- January 10, 2001 (normcdf added)

Constructor Summary

Constructors

Constructor

Description

CDF_Normal()
Method Summary

Modifier and Type

Method

Description

static double

normp(double z)

This method calculates the normal cumulative distribution function.

static double

xnormi(double p)

This method calculates the normal cdf inverse function.

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- CDF_Normal
  
  public CDF_Normal()
Method Details
- xnormi
  
  public static double xnormi(double p)
  
  This method calculates the normal cdf inverse function.
  Let PHI(x) be the normal cdf. Suppose that Q calculates 1.0 - PHI(x), and that QINV calculates QINV(p) for p in (0.0,.5]. Then for p .le. .5, x = PHIINV(p) = -QINV(p). For p .gt. .5, x = PHIINV(p) = QINV(1.0 - p). The formula for approximating QINV is taken from Abramowitz and Stegun, Handbook of Mathematical Functions, Dover, 9th printing, formula 26.2.3, page 933. The error in x is claimed to be less than 4.5e-4 in absolute value.
  
  Parameters:
  
  p - the p
  
  Returns:
  
  the double
- normp
  
  public static double normp(double z)
  This method calculates the normal cumulative distribution function.
  It is based upon algorithm 5666 for the error function, from:
  
  Hart, J.F. et al, 'Computer Approximations', Wiley 1968
  
  The FORTRAN programmer was Alan Miller. The documentation in the FORTRAN code claims that the function is "accurate to 1.e-15."
  Steve Verrill translated the FORTRAN code (the March 30, 1986 version) into Java. This translation was performed on January 10, 2001.
  Parameters:
  
  z - the z
  
  Returns:
  
  the double