kmpm
/ norminv.js
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July 31, 2024 11:58
Compute the quantile function for the normal distribution. - like Excel NORMINV
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| /// Original C++ implementation found at http://www.wilmott.com/messageview.cfm?catid=10&threadid=38771 | |
| /// C# implementation found at http://weblogs.asp.net/esanchez/archive/2010/07/29/a-quick-and-dirty-implementation-of-excel-norminv-function-in-c.aspx | |
| /* | |
| * Compute the quantile function for the normal distribution. | |
| * | |
| * For small to moderate probabilities, algorithm referenced | |
| * below is used to obtain an initial approximation which is | |
| * polished with a final Newton step. | |
| * | |
| * For very large arguments, an algorithm of Wichura is used. |