Evaluates the inverse of the exponential cumulative probability
distribution function.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public static double Exponential(
double p,
double scale
)
Public Shared Function Exponential (
p As Double,
scale As Double
) As Double
public:
static double Exponential(
double p,
double scale
)
static member Exponential :
p : float *
scale : float -> float
Parameters
- p
- Type: SystemDouble
A double scalar value representing the probability at which
the function is to be evaluated.
- scale
- Type: SystemDouble
A double scalar value representing the scale parameter.
Return Value
Type:
Double
A
double scalar value. The probability that an exponential
random variable takes a value less than or equal to this returned
value is
p.
Remarks
Method
InvCdf.Exponential evaluates the inverse distribution
function of a Gamma random variable with scale parameter
=b
and shape parameter
a=1.0, that is, it determines
, such that
where
is the Gamma function. The
probability that the random variable takes a value less than or
equal to
x is
P. See the
Cdf.Gamma
remarks for further discussion of the Gamma distribution.
InvCdf.Exponential uses bisection and modified regula falsi
to invert the distribution function, which is evaluated using
method Cdf.Gamma.
See Also