class math::DistributionFunctions

Overview

Auxiliary functions for CDF calculation. More…

#include <DistributionFunctions.h>
 
class DistributionFunctions {
public:
    // construction
 
    DistributionFunctions();
    ~DistributionFunctions();
 
    // methods
 
    double normalCDF(const double x, double const mu, const double sigma);
    double normalCDFInverse(const double p, double const mu, const double sigma);
    double erfinv(double x);
};

Detailed Documentation

Auxiliary functions for CDF calculation.

Methods

double normalCDF(const double x, double const mu, const double sigma)

Normal cumulative distribution function.

Parameters:

x	Value for evaluation
mu	Mean
sigma	Standard deviation

Returns:

Cumulative distribution function of the normal distribution

double normalCDFInverse(const double p, double const mu, const double sigma)

Inverse complementary error function.

Parameters:

p	Probability value for evaluation
mu	Mean
sigma	Standard deviation

Returns:

Inverse of the normal vumulative distribution function

double erfinv(double x)

Inverse error function NOTE: Abramowitz & Stegun rational approximation, taken from http://libit.sourceforge.net/math_8c-source.html Sufficient accuracy for the current GPR use case (~7 digits).

Parameters:

x	Value for evaluation