Calculating the inverse of a function involving the error function

  • #1
ergospherical
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I have a probability distribution over the interval ##[0, \infty)## given by $$f(x) = \frac{x^2}{2\sqrt{\pi} a^3} \exp\left(- \frac{x^2}{4a^2} \right)$$From this I want to derive a formula for the inverse cumulative density function, ##F^{-1}##. The cumulative density function is a slightly nasty-looking but doable integral involving the error function,$$F(x) = \mathrm{erf}\left( \frac{x}{2a} \right) - \frac{x}{\sqrt{\pi} a} \exp \left( -\frac{x^2}{4a^2} \right)$$So it remains to invert this. Ideally I would like to find an analytic expression, but I haven't had much success.
 
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  • #2
For a=1 the plot is
1712272242615.png


So the expected plot of the inverse function is

1712272420660.png

It seems difficult to get the anaytical form if not impossible.
 
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  • #3
I think it might be. Was just checking if there is a clever way.
 
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  • #4
The inverse function $$ F^{-1}(x) $$ of the cumulative density function $$ F(x) = erf(\frac{x}{2a}) – \frac{x}{\sqrt\pi a} exp(-\frac{x^2}{4a^2}) $$ can not be expressed in an analytic form.
 

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