Inverse of Log Normal


I am new to gauss and I am trying to figure out how to compute a function that returns values at P of the inverse lognormal cdf with distribution parameters mu and sigma. I know there are built-in functions like that in matlab but could not find it in GAUSS.




1 Answer


GAUSS does not have a built-in function to compute the inverse of the lognormal cumulative distribution function, but, it is pretty simple to create a procedure to do this calculation. Here is one:

mu = 0;
sigma = 0.7;
q = seqa(0.1, 0.1, 9);

p = cdfLogNinv(q, mu, sigma);

print q~p;

proc (1) = cdfLogNInv(q, mu, sigma);

Which should return the following output:

  0.10000   1.10840 
  0.20000   1.50812 
  0.30000   1.88310 
  0.40000   2.27654 
  0.50000   2.71828 
  0.60000   3.24574 
  0.70000   3.92388 
  0.80000   4.89951 
  0.90000   6.66644

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