Gaussian distribution #24
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Hi Brendon,
This implements the Gaussian distribution.
I used the
normal_cdffunction already in Utils.cpp; thenormal_inverse_cdfis using code from here which is algorithm ASA241, accurate to 10e-16.This avoids introducing a dependency on Boost, even if
erf_invfrom Boost might be more accurate (I did include but comment out the code to do it with Boost). What do you think?Sorry about the space/tab mess in Utils.cpp