function inv = norminv (x, m, s) % NORMINV Quantile function of the normal distribution % INV = norminv(X, M, S) computes the quantile (the inverse % of the CDF) at X of the normal distribution with mean M % and standard deviation S. % % INV = norminv(X) is equivalent to INV = norminv(X, 0, 1) % Adapted for Matlab (R) from GNU Octave 3.0.1 % Original file: statistics/distributions/norminv.m % Original author: KH % Copyright © 1995, 1996, 1997, 2005, 2006, 2007 Kurt Hornik % Copyright © 2008-2009 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . if (nargin ~= 1 && nargin ~= 3) error ('norminv: you must give one or three arguments'); end if (nargin == 1) m = 0; s = 1; end if (~isscalar (m) || ~isscalar (s)) [retval, x, m, s] = common_size (x, m, s); if (retval > 0) error ('norminv: x, m and s must be of common size or scalars'); end end sz = size (x); inv = zeros (sz); if (isscalar (m) && isscalar (s)) if (find (isinf (m) | isnan (m) | ~(s > 0) | ~(s < Inf))) inv = NaN * ones (sz); else inv = m + s .* stdnormal_inv (x); end else k = find (isinf (m) | isnan (m) | ~(s > 0) | ~(s < Inf)); if (any (k)) inv(k) = NaN; end k = find (~isinf (m) & ~isnan (m) & (s > 0) & (s < Inf)); if (any (k)) inv(k) = m(k) + s(k) .* stdnormal_inv (x(k)); end end k = find ((s == 0) & (x > 0) & (x < 1)); if (any (k)) inv(k) = m(k); end inv((s == 0) & (x == 0)) = -Inf; inv((s == 0) & (x == 1)) = Inf; end