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
sigma. I know there are built-in functions like that in matlab but could not find it in GAUSS.
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); retp(exp(sigma.*cdfni(q)).*exp(exp(mu))); endp;
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