Given x between zero and one as
the integral value of a gaussian normal distribution
this class provides the value y such that
formula here ...
It uses Beasly and Springer approximation, with an improved
approximation for the tails. See Boris Moro,
"The Full Monte", 1995, Risk Magazine.
This class can also be used to generate a gaussian normal
distribution from a uniform distribution.
This is especially useful when a gaussian normal distribution
is generated from a low discrepancy uniform distribution:
in this case the traditional Box-Muller approach and its
variants would not preserve the sequence's low-discrepancy.
Peter J. Acklam's approximation is better and is available
as InverseCumulativeNormal
Moro Inverse cumulative normal distribution class
Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that formula here ...
It uses Beasly and Springer approximation, with an improved approximation for the tails. See Boris Moro, "The Full Monte", 1995, Risk Magazine.
This class can also be used to generate a gaussian normal distribution from a uniform distribution. This is especially useful when a gaussian normal distribution is generated from a low discrepancy uniform distribution: in this case the traditional Box-Muller approach and its variants would not preserve the sequence's low-discrepancy.
Peter J. Acklam's approximation is better and is available as InverseCumulativeNormal