# -*- coding: utf-8 -*- from numpy import array, infty, log, nan, pi, sqrt from pandas_ta._typing import Array, IntFloat, Number, Union from pandas_ta.maps import Imports from pandas_ta.utils import hpoly __all__ = [ 'inv_norm', ] def _gaussian_poly_coefficients() -> Array: """Three pairs of Polynomial Approximation Coefficients for the Gaussian Normal CDF""" p0 = array([ -5.99633501014107895267E1, 9.80010754185999661536E1, -5.66762857469070293439E1, 1.39312609387279679503E1, -1.23916583867381258016E0 ]) q0 = array([ 1.00000000000000000000E0, 1.95448858338141759834E0, 4.67627912898881538453E0, 8.63602421390890590575E1, -2.25462687854119370527E2, 2.00260212380060660359E2, -8.20372256168333339912E1, 1.59056225126211695515E1, -1.18331621121330003142E0 ]) p1 = array([ 4.05544892305962419923E0, 3.15251094599893866154E1, 5.71628192246421288162E1, 4.40805073893200834700E1, 1.46849561928858024014E1, 2.18663306850790267539E0, -1.40256079171354495875E-1, -3.50424626827848203418E-2, -8.57456785154685413611E-4 ]) q1 = array([ 1.00000000000000000000E0, 1.57799883256466749731E1, 4.53907635128879210584E1, 4.13172038254672030440E1, 1.50425385692907503408E1, 2.50464946208309415979E0, -1.42182922854787788574E-1, -3.80806407691578277194E-2, -9.33259480895457427372E-4 ]) p2 = array([ 3.23774891776946035970E0, 6.91522889068984211695E0, 3.93881025292474443415E0, 1.33303460815807542389E0, 2.01485389549179081538E-1, 1.23716634817820021358E-2, 3.01581553508235416007E-4, 2.65806974686737550832E-6, 6.23974539184983293730E-9 ]) q2 = array([ 1.00000000000000000000E0, 6.02427039364742014255E0, 3.67983563856160859403E0, 1.37702099489081330271E0, 2.16236993594496635890E-1, 1.34204006088543189037E-2, 3.28014464682127739104E-4, 2.89247864745380683936E-6, 6.79019408009981274425E-9 ]) return [p0, q0, p1, q1, p2, q2] def inv_norm(value: IntFloat) -> Union[None, Number]: """Inverse Normal (inv_norm) Calculates the 'x' in which the area under the Gaussian PDF is equal to value. If the user has package "statsmodels" installed, the method will call and return norm().ppf(value) Source: https://github.com/scipy/scipy/blob/701ffcc8a6f04509d115aac5e5681c538b5265a2/scipy/special/cephes/ndtri.c """ if Imports["statsmodels"]: from scipy.stats import norm return norm().ppf(value) negate = True v = value # if v == 0.0: return -npInfty if v == 0.0: return -infty if v == 1.0: return infty if v < 0.0 or value > 1.0: return nan p0, q0, p1, q1, p2, q2 = _gaussian_poly_coefficients() sqrt2pi = sqrt(2 * pi) threshold = 0.13533528323661269189 if v > 1.0 - threshold: v, negate = 1.0 - v, False # 0 <= |x0 - 0.5| <= 3/8 if v > threshold: v -= 0.5 v2 = v * v y = v + v * (v2 * hpoly(p0, v2) / hpoly(q0, v2)) y *= sqrt2pi return y y = sqrt(-2.0 * log(v)) y0 = y - log(y) / y z = 1.0 / y if y < 8.0: # Approximation for interval z = sqrt(-2 log y ) between 2 and 8 # i.e., x between exp(-2) = .135 and exp(-32) = 1.27e-14. y1 = z * hpoly(p1, z) / hpoly(q1, z) else: # Approximation for interval z = sqrt(-2 log y ) between 8 and 64 # i.e., x between exp(-32) = 1.27e-14 and exp(-2048) = 3.67e-890. y1 = z * hpoly(p2, z) / hpoly(q2, z) y = y0 - y1 if negate: y = -y return y