Gaussian.java
public class Gaussian
{
public static double phi(double x)
{
return Math.exp(-x*x / 2) / Math.sqrt(2 * Math.PI);
}
public static double phi(double x, double mu, double sigma)
{
return phi((x - mu) / sigma) / sigma;
}
public static double Phi(double z)
{
if (z < -8.0) return 0.0;
if (z > 8.0) return 1.0;
double sum = 0.0, term = z;
for (int i = 3; sum + term != sum; i += 2)
{
sum = sum + term;
term = term * z * z / i;
}
return 0.5 + sum * phi(z);
}
public static double Phi(double z, double mu, double sigma)
{
return Phi((z - mu) / sigma);
}
public static double PhiInverse(double y)
{
return PhiInverse(y, .00000001, -8, 8);
}
private static double PhiInverse(double y, double delta, double lo, double hi)
{
double mid = lo + (hi - lo) / 2;
if (hi - lo < delta) return mid;
if (Phi(mid) > y) return PhiInverse(y, delta, lo, mid);
else
return PhiInverse(y, delta, mid, hi);
}
public static void main(String[] args)
{
double z = Double.parseDouble(args[0]);
double mu = Double.parseDouble(args[1]);
double sigma = Double.parseDouble(args[2]);
StdOut.println(Phi(z, mu, sigma));
double y = Phi(z);
StdOut.println(PhiInverse(y));
}
}
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