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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik |
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2 ## |
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3 ## This file is part of Octave. |
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4 ## |
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5 ## Octave is free software; you can redistribute it and/or modify it |
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6 ## under the terms of the GNU General Public License as published by |
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7 ## the Free Software Foundation; either version 2, or (at your option) |
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8 ## any later version. |
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9 ## |
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10 ## Octave is distributed in the hope that it will be useful, but |
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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13 ## General Public License for more details. |
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14 ## |
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15 ## You should have received a copy of the GNU General Public License |
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16 ## along with Octave; see the file COPYING. If not, write to the Free |
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17 ## Software Foundation, 59 Temple Place - Suite 330, Boston, MA |
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18 ## 02111-1307, USA. |
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19 |
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20 ## -*- texinfo -*- |
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21 ## @deftypefn {Function File} {} normal_inv (@var{x}, @var{m}, @var{v}) |
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22 ## For each element of @var{x}, compute the quantile (the inverse of the |
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23 ## CDF) at @var{x} of the normal distribution with mean @var{m} and |
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24 ## variance @var{v}. |
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25 ## |
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26 ## Default values are @var{m} = 0, @var{v} = 1. |
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27 ## @end deftypefn |
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28 |
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29 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> |
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30 ## Description: Quantile function of the normal distribution |
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31 |
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32 function inv = normal_inv (x, m, v) |
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33 |
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34 if (nargin != 1 && nargin != 3) |
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35 usage ("normal_inv (x, m, v)"); |
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36 endif |
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37 |
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38 if (nargin == 1) |
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39 m = 0; |
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40 v = 1; |
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41 endif |
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42 |
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43 if (!isscalar (m) || !isscalar(v)) |
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44 [retval, x, m, v] = common_size (x, m, v); |
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45 if (retval > 0) |
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46 error ("normal_inv: x, m and v must be of common size or scalars"); |
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47 endif |
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48 endif |
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49 |
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50 sz = size (x); |
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51 inv = zeros (sz); |
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52 |
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53 if (isscalar (m) && isscalar(v)) |
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54 if (find (isinf (m) | isnan (m) | !(v > 0) | !(v < Inf))) |
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55 inv = NaN * ones (sz); |
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56 else |
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57 inv = m + sqrt (v) .* stdnormal_inv (x); |
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58 endif |
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59 else |
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60 k = find (isinf (m) | isnan (m) | !(v > 0) | !(v < Inf)); |
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61 if (any (k)) |
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62 inv(k) = NaN; |
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63 endif |
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64 |
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65 k = find (!isinf (m) & !isnan (m) & (v > 0) & (v < Inf)); |
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66 if (any (k)) |
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67 inv(k) = m(k) + sqrt (v(k)) .* stdnormal_inv (x(k)); |
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68 endif |
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69 endif |
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70 |
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71 k = find ((v == 0) & (x > 0) & (x < 1)); |
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72 if (any (k)) |
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73 inv(k) = m(k); |
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74 endif |
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75 |
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76 inv((v == 0) & (x == 0)) = -Inf; |
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77 inv((v == 0) & (x == 1)) = Inf; |
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78 |
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79 endfunction |
