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/* cdf/inverse_normal.c
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*
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* Copyright (C) 2002 Przemyslaw Sliwa and Jason H. Stover.
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*
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* This program 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 (at
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* your option) any later version.
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*
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* This program is distributed in the hope that it will be useful, but
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* WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* 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 this program; if not, write to the Free Software Foundation,
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* Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
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*/
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/*
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* Computes the inverse normal cumulative distribution function
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* according to the algorithm shown in
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*
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* Wichura, M.J. (1988).
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* Algorithm AS 241: The Percentage Points of the Normal Distribution.
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* Applied Statistics, 37, 477-484.
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*/
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#include <config.h>
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#include <gsl/gsl_errno.h>
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#include <gsl/gsl_math.h>
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#include <gsl/gsl_cdf.h>
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#include "rat_eval.h"
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static double
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small (double q)
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{
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const double a[8] = { 3.387132872796366608, 133.14166789178437745,
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1971.5909503065514427, 13731.693765509461125,
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45921.953931549871457, 67265.770927008700853,
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33430.575583588128105, 2509.0809287301226727
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};
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const double b[8] = { 1.0, 42.313330701600911252,
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687.1870074920579083, 5394.1960214247511077,
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21213.794301586595867, 39307.89580009271061,
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28729.085735721942674, 5226.495278852854561
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};
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double r = 0.180625 - q * q;
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double x = q * rat_eval (a, 8, b, 8, r);
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return x;
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}
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static double
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intermediate (double r)
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{
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const double a[] = { 1.42343711074968357734, 4.6303378461565452959,
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5.7694972214606914055, 3.64784832476320460504,
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1.27045825245236838258, 0.24178072517745061177,
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0.0227238449892691845833, 7.7454501427834140764e-4
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};
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const double b[] = { 1.0, 2.05319162663775882187,
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1.6763848301838038494, 0.68976733498510000455,
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0.14810397642748007459, 0.0151986665636164571966,
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5.475938084995344946e-4, 1.05075007164441684324e-9
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};
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double x = rat_eval (a, 8, b, 8, (r - 1.6));
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return x;
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}
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static double
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tail (double r)
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{
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const double a[] = { 6.6579046435011037772, 5.4637849111641143699,
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1.7848265399172913358, 0.29656057182850489123,
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0.026532189526576123093, 0.0012426609473880784386,
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2.71155556874348757815e-5, 2.01033439929228813265e-7
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};
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const double b[] = { 1.0, 0.59983220655588793769,
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0.13692988092273580531, 0.0148753612908506148525,
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7.868691311456132591e-4, 1.8463183175100546818e-5,
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1.4215117583164458887e-7, 2.04426310338993978564e-15
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};
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double x = rat_eval (a, 8, b, 8, (r - 5.0));
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return x;
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}
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double
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gsl_cdf_ugaussian_Pinv (const double P)
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{
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double r, x, pp;
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double dP = P - 0.5;
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if (P == 1.0)
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{
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return GSL_POSINF;
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}
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else if (P == 0.0)
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{
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return GSL_NEGINF;
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}
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if (fabs (dP) <= 0.425)
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{
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x = small (dP);
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return x;
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}
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pp = (P < 0.5) ? P : 1.0 - P;
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r = sqrt (-log (pp));
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if (r <= 5.0)
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{
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x = intermediate (r);
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}
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else
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{
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x = tail (r);
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}
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if (P < 0.5)
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{
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return -x;
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}
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else
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{
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return x;
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}
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}
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double
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gsl_cdf_ugaussian_Qinv (const double Q)
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{
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double r, x, pp;
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double dQ = Q - 0.5;
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if (Q == 1.0)
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{
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return GSL_NEGINF;
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}
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else if (Q == 0.0)
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{
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return GSL_POSINF;
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}
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if (fabs (dQ) <= 0.425)
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{
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x = small (dQ);
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return -x;
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}
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pp = (Q < 0.5) ? Q : 1.0 - Q;
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r = sqrt (-log (pp));
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if (r <= 5.0)
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{
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x = intermediate (r);
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}
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else
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{
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x = tail (r);
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}
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if (Q < 0.5)
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{
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return x;
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}
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else
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{
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return -x;
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}
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}
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double
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gsl_cdf_gaussian_Pinv (const double P, const double sigma)
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{
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return sigma * gsl_cdf_ugaussian_Pinv (P);
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}
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double
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gsl_cdf_gaussian_Qinv (const double Q, const double sigma)
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{
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return sigma * gsl_cdf_ugaussian_Qinv (Q);
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}
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