uniformCDF_Inv - fabiankindermann/ce-fortran GitHub Wiki

function uniformCDF_Inv(x, a, b)

Calculates the inverse of the cumulative distribution function

of the uniform distribution on the interval at point .

• real*8 :: x
  The point where to evaluate the inverse of the cumulative distribution function of the uniform distribution.

• real*8 :: a
  The left endpoint of the interval on which the distribution exists. If not present, the function uses a = 0.
• real*8 :: b
  The right endpoint of the interval on which the distribution exists. If not present, the function uses b = 1. Note that needs to hold, otherwise the function throws an error message.

• real*8 :: uniformCDF_Inv
  The value of the inverse of the cumulative distribution function at x.

• For further reading refer to:
  • Toral, R. & Colet, P. (2014). Stochastic Numerical Methods: An Introduction for Students and Scientists. Weinheim: Wiley.