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Normal Quantile with Precision

version 2.0.0.0 (3.24 KB) by Zdravko Botev
computes the normal quantile function with high precision for extreme values in the tail

238 Downloads

Updated 27 Apr 2016

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computes the quantile function of the standard normal distribution, truncated to the interval [l,u].
Method designed for precision in the tails. Inf values for vectors 'l' and 'u' accepted;
%Example: Suppose you desire the median of Z~N(0,1), truncated to Z>9;
norminvp(0.5,9,Inf) %our method
% in contrast, Matlab's default norminv.m fails
pl=normcdf(9); norminv(0.5*(1-pl)+pl)

Reference:
Botev, Z. I. (2016). "The normal law under linear restrictions:
simulation and estimation via minimax tilting". Journal of the Royal Statistical Society: Series B (Statistical Methodology). doi:10.1111/rssb.12162

For more information, see: https://en.wikipedia.org/wiki/Normal_distribution#Quantile_function

Cite As

Zdravko Botev (2022). Normal Quantile with Precision (https://www.mathworks.com/matlabcentral/fileexchange/53605-normal-quantile-with-precision), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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