bug in inverseCumulativeProbability() for Normal Distribution
-------------------------------------------------------------
Key: MATH-280
URL: https://issues.apache.org/jira/browse/MATH-280
Project: Commons Math
Issue Type: Bug
Affects Versions: 1.2
Environment: Java 1.5
Reporter: Michael Borcherds
* @version $Revision: 617953 $ $Date: 2008-02-02 22:54:00 -0700 (Sat, 02 Feb
2008) $
*/
public class NormalDistributionImpl extends AbstractContinuousDistribution
* @version $Revision: 506600 $ $Date: 2007-02-12 12:35:59 -0700 (Mon, 12 Feb
2007) $
*/
public abstract class AbstractContinuousDistribution
This code:
DistributionFactory factory = app.getDistributionFactory();
NormalDistribution normal =
factory.createNormalDistribution(0,1);
double result =
normal.inverseCumulativeProbability(0.9772498680518209);
gives the exception below. It should return (approx) 2.0000...
normal.inverseCumulativeProbability(0.977249868051820); works fine
These also give errors:
0.9986501019683698 (should return 3.0000...)
0.9999683287581673 (should return 4.0000...)
org.apache.commons.math.MathException: Number of iterations=1, maximum
iterations=2,147,483,647, initial=1, lower bound=0, upper
bound=179,769,313,486,231,570,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000,
final a value=0, final b value=2, f(a)=-0.477, f(b)=0
at
org.apache.commons.math.distribution.AbstractContinuousDistribution.inverseCumulativeProbability(AbstractContinuousDistribution.java:103)
at
org.apache.commons.math.distribution.NormalDistributionImpl.inverseCumulativeProbability(NormalDistributionImpl.java:145)
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