Package com.singularsys.extensions.statistical.distributions

Class NormalDist

java.lang.Object

com.singularsys.jep.functions.PostfixMathCommand

com.singularsys.jep.functions.NaryFunction

com.singularsys.extensions.statistical.distributions.NormalDist

All Implemented Interfaces:

PostfixMathCommandI, Serializable

public class NormalDist
extends NaryFunction

The normal distribution function.

Works like Excel's NORMDIST function normdist(X,mu,sd) calculates the cumulative probability p(x < X) with mean mu and standard deviation sd. A four argument form normdist(x,mu,sd,0) gives the pdf.

The algorithm for the cdf has come from George Marsaglia Evaluating the Normal Distribution Journal of Statistical Software, Vol 11, issue 4, 2004, https://www.jstatsoft.org/article/view/v011i04

It is accurate to about 1e15 or 1e16. For greater accuracy try the Apache Common Math Library http://commons.apache.org/proper/commons-math/.

Author:

rich

See Also:

• Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static enum	NormalDist.Type	Type of distribution to calculate PDF/CDF

Field Summary

Fields inherited from class com.singularsys.jep.functions.PostfixMathCommand

curNumberOfParameters, description, name, NaN, numberOfParameters

Constructor Summary

Constructors

Constructor	Description
NormalDist(NormalDist.Type type)	Constructor

Method Summary

Modifier and Type	Method	Description
static double	cdf(double x, double mu, double sigma)	Cdf with given mean and standard deviation
Object	eval(Object[] args)	Evaluate the function
static double	pdf(double x, double mu, double sigma)	PDF with given mean and standard deviation
static double	phi(double z)	Standardised normal pdf with mean 0 and sd 1.
static double	Phi(double z)	Standardised normal pdf with mean 0 and sd 1.

Methods inherited from class com.singularsys.jep.functions.NaryFunction

run

Methods inherited from class com.singularsys.jep.functions.PostfixMathCommand

asArray, asBool, asDouble, asInt, asLong, asStrictInt, asString, asType, checkNumberOfParameters, getDescription, getDescription, getDescriptionWithType, getName, getNumberOfParameters, setCurNumberOfParameters, setDescription, setName, toString, toString

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Details

NormalDist

public NormalDist(NormalDist.Type type)

Constructor

Parameters:

type - the mode for the distribution pdf/cdf/ fourarg version.

Method Details

eval

public Object eval(Object[] args)
            throws EvaluationException

Description copied from class: NaryFunction

Evaluate the function

Specified by:

eval in class NaryFunction

Parameters:

args - arguments to the function

Returns:

value returned by the function

Throws:

EvaluationException - if the calculation cannot be performed

pdf

public static double pdf(double x,
 double mu,
 double sigma)

PDF with given mean and standard deviation

Parameters:

x - value to test

mu - mean

sigma - standard deviation

Returns:

pdf

phi

public static double phi(double z)

Standardised normal pdf with mean 0 and sd 1.

Parameters:

z - z-statistic

Returns:

φ(z)

cdf

public static double cdf(double x,
 double mu,
 double sigma)

Cdf with given mean and standard deviation

Parameters:

x - test value

mu - mean

sigma - standard deviation

Returns:

cdf

Phi

public static double Phi(double z)

Standardised normal pdf with mean 0 and sd 1.

Parameters:

z - z-value to test

Returns:

Φ(z)