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| // Convert uniform random [0,1] to normal random ~ N(0,1) | |
| // norm_rnd = Probit( random() ) | |
| // | |
| // Probit(p) ~= logit(p)*sqrt(pi/8) | |
| // logit(p) = log( p / (1-p) ) | |
| // | |
| Function RandomNormal(){ | |
| var c = 0.626657068657750125603941 // sqrt(pi/8) | |
| var p = Math.random() | |
| return c * Math.log( p/(1.0-p) ) | |
| } |
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Not very good, see
https://github.com/JuliaLang/Rmath-julia/blob/master/src/qnorm.c