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