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.
Calculating the inverse of a function involving the error function
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anuttarasammyak
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For a=1 the plot is
So the expected plot of the inverse function is
It seems difficult to get the anaytical form if not impossible.
So the expected plot of the inverse function is
It seems difficult to get the anaytical form if not impossible.
I think it might be. Was just checking if there is a clever way.
Gavran
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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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