Approximating the Inverse Normal

versión 1.2.0.0 (1.68 KB) por Wolfgang Putschögl
Beasley-Springer-Moro algorithm for approximating the inverse normal.

659 descargas

Actualizada 8 Aug 2011

Ver licencia

Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the inverse normal.

Input: u, a sacalar or matrix with elements between 0 and 1
Output: x, an approximation for the inverse normal at u

Reference:
Pau Glasserman, Monte Carlo methods in financial engineering, vol. 53 of applications of Mathematics (New York),
Springer-Verlag, new York, 2004, p.67-68

Citar como

Wolfgang Putschögl (2022). Approximating the Inverse Normal (https://www.mathworks.com/matlabcentral/fileexchange/28988-approximating-the-inverse-normal), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2010a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!