Hi all,
There is a normal distribution implementation in the package
org.apache.commons.math.distribution.
When calling the inversecumulativeProbability(double p) method for a normal
distribution of a specific mean and standard deviation, I am receiving the
error below whenever the standard deviation of the normal distribution is less
than or equal to 0.027. I tried the microsoft excel imiplemenation
(NormInv(probability, mean, standard dev)), and that implementation ran fine
with std dev. of value less than or equal to 0.027. Is this something known or
a limitation of the java implementation of the normal inverse function? If
anyone else experienced a similar problem and knows how to remedy, please help!
====== Stack Trace =====
org.apache.commons.math.FunctionEvaluationException: Error computing cdf
Evaluation failed for argument=1.0345
at
org.apache.commons.math.distribution.AbstractContinuousDistribution$1.value(AbstractContinuousDistribution.java:73)
at
org.apache.commons.math.analysis.UnivariateRealSolverUtils.bracket(UnivariateRealSolverUtils.java:193)
at
org.apache.commons.math.analysis.UnivariateRealSolverUtils.bracket(UnivariateRealSolverUtils.java:127)
at
org.apache.commons.math.distribution.AbstractContinuousDistribution.inverseCumulativeProbability(AbstractContinuousDistribution.java:84)
at
org.apache.commons.math.distribution.NormalDistributionImpl.inverseCumulativeProbability(NormalDistributionImpl.java:131)
at
org.miso.tools.credit.NormalInverse.getNormalInverse(NormalInverse.java:110)
at org.miso.tools.credit.NormalInverse.main(NormalInverse.java:55)
Caused by: org.apache.commons.math.ConvergenceException: maximum number of
iterations reached
at
org.apache.commons.math.special.Gamma.regularizedGammaP(Gamma.java:176)
at org.apache.commons.math.special.Erf.erf(Erf.java:52)
at
org.apache.commons.math.distribution.NormalDistributionImpl.cumulativeProbability(NormalDistributionImpl.java:105)
at
org.apache.commons.math.distribution.AbstractContinuousDistribution$1.value(AbstractContinuousDistribution.java:71)
... 6 more
Thank you in advance.
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