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92 lines
4.6 KiB
Go
92 lines
4.6 KiB
Go
// Copyright ©2017 The Gonum Authors. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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package mathext
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import "math"
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/*
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Copyright (c) 2012 The Probab Authors. All rights reserved.
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Redistribution and use in source and binary forms, with or without
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modification, are permitted provided that the following conditions are
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met:
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* Redistributions of source code must retain the above copyright
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notice, this list of conditions and the following disclaimer.
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* Redistributions in binary form must reproduce the above
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copyright notice, this list of conditions and the following disclaimer
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in the documentation and/or other materials provided with the
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distribution.
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* Neither the name of Google Inc. nor the names of its
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contributors may be used to endorse or promote products derived from
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this software without specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
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"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
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LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
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OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
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SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
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LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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*/
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// NormalQuantile computes the quantile function (inverse CDF) of the standard
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// normal. NormalQuantile panics if the input p is less than 0 or greater than 1.
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func NormalQuantile(p float64) float64 {
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switch {
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case p < 0 || 1 < p:
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panic("mathext: quantile out of bounds")
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case p == 1:
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return math.Inf(1)
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case p == 0:
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return math.Inf(-1)
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}
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// Compute rational approximation based on the value of p.
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dp := p - 0.5
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if math.Abs(dp) <= 0.425 {
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z := 0.180625 - dp*dp
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z1 := ((((((zQSA[0]*z+zQSA[1])*z+zQSA[2])*z+zQSA[3])*z+zQSA[4])*z+zQSA[5])*z+zQSA[6])*z + zQSA[7]
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z2 := ((((((zQSB[0]*z+zQSB[1])*z+zQSB[2])*z+zQSB[3])*z+zQSB[4])*z+zQSB[5])*z+zQSB[6])*z + zQSB[7]
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return dp * z1 / z2
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}
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if p < 0.5 {
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r := math.Sqrt(-math.Log(p))
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if r <= 5.0 {
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z := r - 1.6
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z1 := ((((((zQIA[0]*z+zQIA[1])*z+zQIA[2])*z+zQIA[3])*z+zQIA[4])*z+zQIA[5])*z+zQIA[6])*z + zQIA[7]
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z2 := ((((((zQIB[0]*z+zQIB[1])*z+zQIB[2])*z+zQIB[3])*z+zQIB[4])*z+zQIB[5])*z+zQIB[6])*z + zQIB[7]
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return -z1 / z2
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}
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z := r - 5
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z1 := ((((((zQTA[0]*z+zQTA[1])*z+zQTA[2])*z+zQTA[3])*z+zQTA[4])*z+zQTA[5])*z+zQTA[6])*z + zQTA[7]
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z2 := ((((((zQTB[0]*z+zQTB[1])*z+zQTB[2])*z+zQTB[3])*z+zQTB[4])*z+zQTB[5])*z+zQTB[6])*z + zQTB[7]
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return -z1 / z2
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}
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r := math.Sqrt(-math.Log(1 - p))
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if r <= 5.0 {
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z := r - 1.6
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z1 := ((((((zQIA[0]*z+zQIA[1])*z+zQIA[2])*z+zQIA[3])*z+zQIA[4])*z+zQIA[5])*z+zQIA[6])*z + zQIA[7]
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z2 := ((((((zQIB[0]*z+zQIB[1])*z+zQIB[2])*z+zQIB[3])*z+zQIB[4])*z+zQIB[5])*z+zQIB[6])*z + zQIB[7]
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return z1 / z2
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}
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z := r - 5
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z1 := ((((((zQTA[0]*z+zQTA[1])*z+zQTA[2])*z+zQTA[3])*z+zQTA[4])*z+zQTA[5])*z+zQTA[6])*z + zQTA[7]
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z2 := ((((((zQTB[0]*z+zQTB[1])*z+zQTB[2])*z+zQTB[3])*z+zQTB[4])*z+zQTB[5])*z+zQTB[6])*z + zQTB[7]
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return z1 / z2
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}
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var (
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zQSA = [...]float64{2509.0809287301226727, 33430.575583588128105, 67265.770927008700853, 45921.953931549871457, 13731.693765509461125, 1971.5909503065514427, 133.14166789178437745, 3.387132872796366608}
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zQSB = [...]float64{5226.495278852854561, 28729.085735721942674, 39307.89580009271061, 21213.794301586595867, 5394.1960214247511077, 687.1870074920579083, 42.313330701600911252, 1.0}
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zQIA = [...]float64{7.7454501427834140764e-4, 0.0227238449892691845833, 0.24178072517745061177, 1.27045825245236838258, 3.64784832476320460504, 5.7694972214606914055, 4.6303378461565452959, 1.42343711074968357734}
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zQIB = [...]float64{1.05075007164441684324e-9, 5.475938084995344946e-4, 0.0151986665636164571966, 0.14810397642748007459, 0.68976733498510000455, 1.6763848301838038494, 2.05319162663775882187, 1.0}
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zQTA = [...]float64{2.01033439929228813265e-7, 2.71155556874348757815e-5, 0.0012426609473880784386, 0.026532189526576123093, 0.29656057182850489123, 1.7848265399172913358, 5.4637849111641143699, 6.6579046435011037772}
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zQTB = [...]float64{2.04426310338993978564e-15, 1.4215117583164458887e-7, 1.8463183175100546818e-5, 7.868691311456132591e-4, 0.0148753612908506148525, 0.13692988092273580531, 0.59983220655588793769, 1.0}
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)
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