Approximating the Inverse Normal
Beasley-Springer-Moro algorithm for approximating the inverse normal.
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Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the inverse normal.
Input: u, a sacalar or matrix with elements between 0 and 1
Output: x, an approximation for the inverse normal at u
Reference:
Pau Glasserman, Monte Carlo methods in financial engineering, vol. 53 of applications of Mathematics (New York),
Springer-Verlag, new York, 2004, p.67-68
Cita come
Wolfgang Putschögl (2026). Approximating the Inverse Normal (https://it.mathworks.com/matlabcentral/fileexchange/28988-approximating-the-inverse-normal), MATLAB Central File Exchange. Recuperato .
Informazioni generali
- Versione 1.2.0.0 (1,68 KB)
Compatibilità della release di MATLAB
- Compatibile con qualsiasi release
Compatibilità della piattaforma
- Windows
- macOS
- Linux
| Versione | Pubblicato | Note della release | Action |
|---|---|---|---|
| 1.2.0.0 | Thanks to Ben Petschel who provided optimized code that brings it almost on par with the builtin (compiled) norminv/erfcinv! |
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| 1.1.0.0 | Thanks to Ben Petschel who provided optimized code that brings it almost on par with the builtin (compiled) norminv/erfcinv! |
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| 1.0.0.0 |
