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  1. Commons Statistics
  2. STATISTICS-36

Optimise the default inverse CDF function for continuous distributions

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Details

    • Improvement
    • Status: Closed
    • Minor
    • Resolution: Fixed
    • 1.0
    • 1.0
    • distribution
    • None

    Description

      Many distributions only compute the inverse CDF to 1e-9 relative error. Some fail to compute when the input p value maps to a very small x value (e.g. 1e-50). This is related to the defaults for the brent solver used in the default implementation.

      Investigation of tolerances in the brent solver discovered a bug when evaluating very small objective functions (NUMBERS-168).

      The brent solver requires a release to be used with this fix so work can use a local copy until all issues with it have been resolved, and the changes ported back to numbers.

       

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            aherbert Alex Herbert
            aherbert Alex Herbert
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              Updated:
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