Class InverseErf


  • public final class InverseErf
    extends Object
    Inverse of the error function.

    This implementation is described in the paper: Approximating the erfinv function by Mike Giles, Oxford-Man Institute of Quantitative Finance, which was published in GPU Computing Gems, volume 2, 2010. The source code is available here.

    • Method Detail

      • value

        public static double value​(double x)
        Returns the inverse error function.
        Parameters:
        x - Value.
        Returns:
        t such that x = Erf.value(t).