normalQuantile
normalQuantile(
probability):number
Defined in: normal-quantile.ts:49
Inverse of the standard normal cumulative distribution function (the probit
function): the value x such that a standard normal variable falls at or
below x with probability probability.
Acklam’s rational approximation, whose relative error is bounded by 1.15e-9,
refined by a single Halley step against erfc. That step triples the correct
digits, so the result is accurate to the last few bits rather than to nine
decimals — which matters because the error is relative, and the absolute
error of the bare approximation grows with the quantile, reaching about 7e-9
out at p = 1e-12.
Parameters
Section titled “Parameters”probability
Section titled “probability”number
Probability in [0, 1].
Returns
Section titled “Returns”number
The quantile; -Infinity for 0, Infinity for 1, NaN for
NaN.
Throws
Section titled “Throws”When probability is outside [0, 1].