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Tests added using common input values and comparing against the output from original boost::math implementations. The normal distribution cdf function is taken from the example code at http://en.cppreference.com/w/cpp/numeric/math/erfc. The erf_inv is based on code accompanying the article "Approximating the erfinv function" in GPU Computing Gems, Volume 2.
Collaborator
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So this fixes #48? Very cool, thanks! I shall review and merge this with the next batch of free time :D |
Author
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Yep, I think it should fix #48 :) |
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Tests added using common input values and comparing against the output
from original
boost::mathimplementations.The normal distribution CDF function is taken from the example code at
http://en.cppreference.com/w/cpp/numeric/math/erfc.
The
erf_invis based on code accompanying the article "Approximatingthe erfinv function" in GPU Computing Gems, Volume 2. Orginally I was using the approximation described at https://en.wikipedia.org/wiki/Error_function#Approximation_with_elementary_functions but found them to be a lot less accurate than the
boost::mathversion for some inputs.I don't have a great background in this kind of maths, I've found algorithm descriptions through Googling and checked correctness by comparing against the values returned by boost math. It seems to be OK.