[OctDev] [contribution] norminv.m

[D. G. <de...@gl...>]

hello

i would like to contribute to the statistics repository, this GPLed
norminv.m, which (with the aid of normal_inv.m), completelty
replicates matlab's norminv.m.  I have tested every possible case
(there are lots of easy-to-miss possibilities, will go into details if
you like).  I am not on the mailing-list yet, so please Cc me on any
follow-up.


# Copyright (C) 1995, 1996, 1997  Kurt Hornik, 
## Copyright (C) 2002 Elliott Wave International, Inc. 

## Author(s): Deepak Goel, Kurt Hornik. 

## This file is derived from (and also calls) normal_niv.m, and hence
## GPLed. This function seeks to mirror matlab's norminv.m, so that
## one
## can run Kanzler's bdssig.m tests.

## This program is free software; you can redistribute it and/or
   modify
## it under the terms of the GNU General Public License as published
   by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this file.  If not, write to the Free Software
   Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.



## -*- texinfo -*-
## @deftypefn {Function File} {} normal_inv (@var{x}, @var{m},
## @var{sig})
## For each element of @var{x}, compute the quantile (the inverse of
## the
## CDF) at @var{x} of the normal distribution with mean @var{m} and
## variance @var{sig}.
##
## Default values are @var{m} = 0, @var{sig} = 1.
## @end deftypefn

## Author: KH <Kur...@ci...>
## Description: Quantile function of the normal distribution

function inv = norminv (x, m, sig)

  if (! ((nargin == 1) || (nargin == 2) || (nargin == 3)))
    usage ("normal_inv (x, m, sig)");
  endif
  
  if (nargin == 2)
    sig = 1;
  endif

  if (nargin == 1)
    m = 0;
    sig = 1;
  endif
  
  numrows= rows (sig);
  numcols = columns(sig);

  var=sig.^2;

  ## If var was negative or 0, that's an absurdity, so matlab returns
  ## NaN..  So, make sig absurd (-1) in that case..
  for i=1:numrows
    for j=1:numcols
      if (sig(i,j) <= 0);
	var(i,j) = -1;
      endif
    end
  end
###   if (sig <= 0)
###     inv = NaN;
###   elseif
###     inv = normal_inv (x, m, sig.^2);
###   endif
  
  inv = normal_inv (x, m, var);

endfunction