Analysis of Qualities of Numerical Methods for Calculating the Inverse Normal Cumulative Distribution Function
Date Issued
2007
Date
2007
Author(s)
Lin, I-Chen
DOI
en-US
Abstract
The inverse normal cumulative distribution function does not have a close form. Several algorithms for evaluating (or approximating) the inverse normal cumulative distribution function have been proposed. The aim of the thesis is to compare a few numerical methods of the inverse normal cumulative distribution function, which are used for calculating approximate values of the inverse normal cumulative distribution function. They include the built-in function in EXCEL, a numerical method by Peter J. Acklam, and a numerical method by Moro. The numerical method of Moro is implemented with MATLAB in this thesis. Related errors of the above-mentioned numerical methods are analyzed in the current thesis as well.
Subjects
反向常態累加分布函數
數值方法
EXCEL
MATLAB
Acklam
Moro
Inverse normal cumulative distribution function
numerical method
Type
thesis
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