Norminv in Matlab 2012

Hi,

Is there an equivalent of norminv for Matlab 2012? It doesn't seem to work in this version. I just need the inverse of the "basic" normal distribution (parameters 0 and 1).

Thanks!

EDIT: the statistical toolbox (and not Matlab 2012) seems to be responsible for this. The question still holds though, is there such a function outside this toolbox?

Answer 1

[Roger Stafford]

You can use matlab's 'erfinv' function to calculate the equivalent of 'norminv' according to the formula:

 norminv(p) = sqrt(2)*erfinv(2*p-1)

[Joseph Schmidt]

How would you readjust this for a stan. dev. other than 1? Say a stan. dev. of .5 units.

[Torsten]

f(p) = mu + sqrt(2)*sigma*erfinv(2*p-1)

is the inverse CDF of the general normal distribution N(mu,sigma^2).

Best wishes

Torsten.

Answer 2

[Martin]

Brilliant, thanks!