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normal_quantile

numra_optim::robust

Function normal_quantile 

Source 
pub fn normal_quantile<S: Scalar>(p: S) -> S
Expand description

Compute the inverse of the standard normal CDF (quantile function).

Uses the Abramowitz & Stegun 26.2.23 rational approximation.

§Arguments

  • p - Probability in (0, 1).

§Returns

The value z such that Phi(z) = p where Phi is the standard normal CDF.

§Panics

Panics if p is not in (0, 1).