[jira] [Comment Edited] (MATH-981) An improved algorithm for computing the inverse cumulative probability for the normal distribution

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[jira] [Comment Edited] (MATH-981) An improved algorithm for computing the inverse cumulative probability for the normal distribution

Walter Laan (Jira)

    [ https://issues.apache.org/jira/browse/MATH-981?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13667405#comment-13667405 ]

Thomas Neidhart edited comment on MATH-981 at 5/26/13 9:23 PM:
---------------------------------------------------------------

With the outlined refinement the error is never bigger than 1e-10.

Edit: correction, with the refinement, the algorithm is actually slower.
               
      was (Author: tn):
    With the outlined refinement the error is never bigger than 1e-10, and it is still way faster than the original method.
                 

> An improved algorithm for computing the inverse cumulative probability for the normal distribution
> --------------------------------------------------------------------------------------------------
>
>                 Key: MATH-981
>                 URL: https://issues.apache.org/jira/browse/MATH-981
>             Project: Commons Math
>          Issue Type: Sub-task
>            Reporter: Thomas Neidhart
>            Priority: Minor
>
> The following page outlines an algorithm (and alternative algorithms) to compute the inverse cumulative probability for the normal distribution:
> http://home.online.no/~pjacklam/notes/invnorm/
> An implementation of this is also included in the referred contribution for a Monte Carlo engine.

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