Cdf.InverseNormal Method

Evaluates the inverse of the normal (Gaussian) cumulative probability distribution function.

public static double InverseNormal(
double p
);

Parameters

p: A double specifying the probability at which the function is to be evaluated.

Return Value

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

Remarks

Method InverseNormal evaluates the inverse of the distribution function, $\Phi$ , of a standard normal (Gaussian) random variable, that is, InverseNormal $({\rm p})=\Phi-1(p)$ , where

$\Phi \left( x \right) = \frac{1}{{\sqrt {2\pi } }}\int_{ - \infty }^x {e^{ - t^2 /2} dt}$

The value of the distribution function at the point x is the probability that the random variable takes a value less than or equal to x. The standard normal distribution has a mean of 0 and a variance of 1.

Cdf.InverseNormal Method

Parameters

Return Value

Remarks

See Also