Hi,
I am new to gauss and I am trying to figure out how to compute a function that returns values at P of the inverse lognormal cdf with distribution parameters mu and sigma. I know there are built-in functions like that in matlab but could not find it in GAUSS.
Thanks!
1 Answer
0
GAUSS does not have a built-in function to compute the inverse of the lognormal cumulative distribution function, but, it is pretty simple to create a procedure to do this calculation. Here is one:
mu = 0;
sigma = 0.7;
q = seqa(0.1, 0.1, 9);
p = cdfLogNinv(q, mu, sigma);
print q~p;
proc (1) = cdfLogNInv(q, mu, sigma);
retp(exp(sigma.*cdfni(q)).*exp(exp(mu)));
endp;Which should return the following output:
0.10000 1.10840 0.20000 1.50812 0.30000 1.88310 0.40000 2.27654 0.50000 2.71828 0.60000 3.24574 0.70000 3.92388 0.80000 4.89951 0.90000 6.66644
Your Answer
1 Answer
0
GAUSS does not have a built-in function to compute the inverse of the lognormal cumulative distribution function, but, it is pretty simple to create a procedure to do this calculation. Here is one:
mu = 0;
sigma = 0.7;
q = seqa(0.1, 0.1, 9);
p = cdfLogNinv(q, mu, sigma);
print q~p;
proc (1) = cdfLogNInv(q, mu, sigma);
retp(exp(sigma.*cdfni(q)).*exp(exp(mu)));
endp;Which should return the following output:
0.10000 1.10840 0.20000 1.50812 0.30000 1.88310 0.40000 2.27654 0.50000 2.71828 0.60000 3.24574 0.70000 3.92388 0.80000 4.89951 0.90000 6.66644