77 lines
2.1 KiB
Matlab
77 lines
2.1 KiB
Matlab
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 <Kurt.Hornik@wu-wien.ac.at>
|
|
|
|
% Copyright (C) 1995, 1996, 1997, 2005, 2006, 2007 Kurt Hornik
|
|
% Copyright (C) 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 <http://www.gnu.org/licenses/>.
|
|
|
|
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
|