IMSL C# Numerical Library

Cdf.InverseBeta Method 

Evaluates the inverse of the beta cumulative probability distribution function.

public static double InverseBeta(
   double p,
   double pin,
   double qin
);

Parameters

p
A double specifying the probability for which the inverse of the beta CDF is to be evaluated.
pin
A double specifying the first beta distribution parameter.
qin
A double specifying the second beta distribution parameter.

Return Value

A double specifying the probability that a beta random variable takes a value less than or equal to this value is p.

Remarks

Method InverseBeta evaluates the inverse distribution function of a beta random variable with parameters pin and qin, that is, with P = p, p = pin, and q = qin, it determines x (equal to InverseBeta (p, pin, qin)), such that

P = \frac{{\Gamma \left( p \right)\Gamma 
            \left( q \right)}}{{\Gamma \left( {p + q} \right)}}\int_0^x {t^{p - 1} } 
            \left( {1 - t} \right)^{q - 1} dt

where \Gamma(\cdot) is the gamma function. The probability that the random variable takes a value less than or equal to x is P.

See Also

Cdf Class | Imsl.Stat Namespace | Example