36 lines
1.3 KiB
Matlab
36 lines
1.3 KiB
Matlab
function inv = stdnormal_inv (x)
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% STDNORMAL_INV Quantile function of the standard normal distribution
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% INV = stdnormal_inv(X)
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% For each component of X, compute the quantile (the inverse of the
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% CDF) at X of the standard normal distribution.
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% Adapted for Matlab (R) from GNU Octave 3.0.1
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% Original file: statistics/distributions/stdnormal_inv.m
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% Original author: KH <Kurt.Hornik@wu-wien.ac.at>
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% Copyright © 1995, 1996, 1997, 1998, 2000, 2002, 2005, 2006, 2007 Kurt Hornik
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% Copyright © 2008-2017 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)
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error('stdnormal_inv: you should provide one argument');
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end
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inv = sqrt (2) * erfinv (2 * x - 1);
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end
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