Mercurial > hg > octave-lyh
annotate scripts/statistics/distributions/norminv.m @ 12749:e7cc2d4a6db3 stable
Fix range of sigma in normal distribution to exclude 0.
* normcdf.m, normpdf.m: Correct 's >= 0' to 's > 0'.
| author | Rik <octave@nomad.inbox5.com> |
|---|---|
| date | Thu, 16 Jun 2011 21:05:10 -0700 |
| parents | fd0a3ac60b0e |
| children | 19b9f17d22af |
| rev | line source |
|---|---|
| 11523 | 1 ## Copyright (C) 1995-2011 Kurt Hornik |
| 5410 | 2 ## |
| 3 ## This file is part of Octave. | |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 5410 | 9 ## |
| 10 ## Octave is distributed in the hope that it will be useful, but | |
| 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of | |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 13 ## General Public License for more details. | |
| 14 ## | |
| 15 ## You should have received a copy of the GNU General Public License | |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 5410 | 18 |
| 19 ## -*- texinfo -*- | |
| 6617 | 20 ## @deftypefn {Function File} {} norminv (@var{x}, @var{m}, @var{s}) |
| 5410 | 21 ## For each element of @var{x}, compute the quantile (the inverse of the |
| 22 ## CDF) at @var{x} of the normal distribution with mean @var{m} and | |
| 6617 | 23 ## standard deviation @var{s}. |
| 5410 | 24 ## |
| 6617 | 25 ## Default values are @var{m} = 0, @var{s} = 1. |
| 5410 | 26 ## @end deftypefn |
| 27 | |
| 5428 | 28 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
| 5410 | 29 ## Description: Quantile function of the normal distribution |
| 30 | |
| 6617 | 31 function inv = norminv (x, m, s) |
| 5410 | 32 |
| 33 if (nargin != 1 && nargin != 3) | |
| 6046 | 34 print_usage (); |
| 5410 | 35 endif |
| 36 | |
| 37 if (nargin == 1) | |
| 38 m = 0; | |
| 6617 | 39 s = 1; |
| 5410 | 40 endif |
| 41 | |
| 6617 | 42 if (!isscalar (m) || !isscalar (s)) |
| 43 [retval, x, m, s] = common_size (x, m, s); | |
| 5410 | 44 if (retval > 0) |
|
11472
1740012184f9
Use uppercase for variable names in error() strings to match Info documentation. Only m-files done.
Rik <octave@nomad.inbox5.com>
parents:
10525
diff
changeset
|
45 error ("norminv: X, M and S must be of common size or scalars"); |
| 5410 | 46 endif |
| 47 endif | |
| 48 | |
| 49 sz = size (x); | |
| 50 inv = zeros (sz); | |
| 51 | |
| 6617 | 52 if (isscalar (m) && isscalar (s)) |
| 53 if (find (isinf (m) | isnan (m) | !(s > 0) | !(s < Inf))) | |
|
10525
3306cfcb856e
Replace constructs like "NaN * one()" with "NaN()" and "Inf * ones ()" with "Inf()"
David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
54 inv = NaN (sz); |
| 5410 | 55 else |
| 6617 | 56 inv = m + s .* stdnormal_inv (x); |
| 5410 | 57 endif |
| 58 else | |
| 6617 | 59 k = find (isinf (m) | isnan (m) | !(s > 0) | !(s < Inf)); |
| 5410 | 60 if (any (k)) |
| 61 inv(k) = NaN; | |
| 62 endif | |
| 63 | |
| 6617 | 64 k = find (!isinf (m) & !isnan (m) & (s > 0) & (s < Inf)); |
| 5410 | 65 if (any (k)) |
| 6617 | 66 inv(k) = m(k) + s(k) .* stdnormal_inv (x(k)); |
| 5410 | 67 endif |
| 68 endif | |
| 69 | |
| 6617 | 70 k = find ((s == 0) & (x > 0) & (x < 1)); |
| 5410 | 71 if (any (k)) |
| 72 inv(k) = m(k); | |
| 73 endif | |
| 74 | |
| 6617 | 75 inv((s == 0) & (x == 0)) = -Inf; |
| 76 inv((s == 0) & (x == 1)) = Inf; | |
| 5410 | 77 |
| 78 endfunction |