zscore-probability

The following functions calculate probability from a z-score and z-score from a probability.

Install

npm install --save zscore-probability

See test.js for a couple of examples.

About the code

Found on https://stackoverflow.com/a/36903699/464549

Original code comments:

The following JavaScript functions for calculating normal and
chi-square probabilities and critical values were adapted by
John Walker from C implementations
written by Gary Perlman of Wang Institute, Tyngsboro, MA
01879.  Both the original C code and this JavaScript edition
are in the public domain.  */

POZ  --  probability of normal z value

Adapted from a polynomial approximation in:
        Ibbetson D, Algorithm 209
        Collected Algorithms of the CACM 1963 p. 616
Note:
        This routine has six digit accuracy, so it is only useful for absolute
        z values <= 6.  For z values > to 6.0, poz() returns 0.0.

CRITZ  --  Compute critical normal z value to
           produce given p.  We just do a bisection
           search for a value within CHI_EPSILON,
           relying on the monotonicity of pochisq().

License

MIT © Dennis Iversen