Inverse of user-supplied cumulative distribution function.
Namespace:
Imsl.Stat
Assembly:
ImslCS (in ImslCS.dll) Version: 6.5.0.0
Syntax
C# |
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[SerializableAttribute] public class InverseCdf |
Visual Basic (Declaration) |
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<SerializableAttribute> _ Public Class InverseCdf |
Visual C++ |
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[SerializableAttribute] public ref class InverseCdf |
Remarks
Class InverseCdf evaluates the inverse of a continuous, strictly monotone function. Its most obvious use is in evaluating inverses of continuous distribution functions that can be defined by a user-supplied function, which implements the ICdfFunction interface. The inverse is computed using regula falsi and/or bisection, possibly with the Illinois modification (see Dahlquist and Bjorck 1974). A maximum of 100 iterations are performed.