I'd like to have a J implementation of the probit function (the inverse CDF (aka quantile function) of the standard normal distribution.
i.e. probit normalcdf 1.5 1.5 According to wikipedia (<http://en.wikipedia.org/wiki/Probit>) probit=: (%:2) * erfinv@(_1 2 p. ]) Where erfinv is the inverse error function. I know that erf is defined in the '~addons/stats/base/distribution.ijs' script and the wiki page <http://www.jsoftware.com/jwiki/Essays/Normal_CDF> as: erf=: (1 H. 1.5)@*: * 2p_0.5&* % ^@:*: Can anyone provide a definition for its inverse? In the meantime I've been able to use the recently updated Rserve interface to R to access its quantile function: load 'stats/r/rserve' NB. Start Rserve (R CMD rserve.exe) 'p' Rset normalcdf 1.5 Rget 'qnorm(p)' 1.5 ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
