1 Reply Latest reply on Feb 24, 2011 1:40 PM by chipf

    Inverese Gaussian CDF

    renorm

      What is the best way to apply inverse Gaussian CDF to an array of floating point values?

      I was looking for something similar to MKL's v?CdfNormInv. There seems to be no direct equivalent in ACML.

      Relevant question. What is underlying algorithm in DRANDGAUSSIAN? If it inverse CDF, I might be able to use it as an replacement for v?CdfNormInv.

      Thank you,

      r.

        • Inverese Gaussian CDF
          chipf

          The ACML DRANDGAUSSIAN routine uses the Box Muller method to generate the distribution.  It will not do what you are after.

          The NAG Statistical libray provides a Inverse CDF.  There are other options, AS241 from Statlib, and GSL has this capability.