InvCdf.Normal Method

InvCdfNormal Method

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

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public static double Normal(
	double p
)

Public Shared Function Normal ( 
	p As Double
) As Double

public:
static double Normal(
	double p
)

static member Normal : 
        p : float -> float

Parameters

p: Type: SystemDouble
A double scalar value representing the probability at which the function is to be evaluated.

Return Value

Type: Double
A double scalar value. The probability that a standard normal random variable takes a value less than or equal to this returned value is p.

Remarks

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

Reference

InvCdf Class

Imsl.Stat Namespace

Other Resources

Example