Question

Hey guys, I’m trying to compute the cumulative distribution function of the standard normal distribution for a formula in C using the GSL (Gnu Statistics Library)

I’ve installed and included gsl but am having trouble understanding how to use it.

I think the function I need is:

double gsl_ran_lognormal (const gsl_rng * r, double zeta, double sigma)

The formula I have only has one number that I would pass into a cdf function so I’m not quite sure what to do here. (This is probably because of my crappy understanding of statistics)

I would appreciate it anyone could lend me a hand on how to get the cdf using gsl with one input variable.

Documentation only says:

This function returns a random variate from the lognormal distribution. The distribution function is,

p(x) dx = {1 \over x \sqrt{2 \pi \sigma^2} } \exp(-(\ln(x) – \zeta)^2/2 \sigma^2) dx

for x > 0.

Basically, could someone explain what gsl_rng, zeta, and sigma should be?

EDIT: Ok, I think that zeta should be 0 (mu) and sigma should be 1 (std dev) to make it normal? Is that right? What is gsl_rng?

Answer 1

gsl_rng is a pointer to an initialized (and possible custom seeded) random number generator.

See for example http://www.csse.uwa.edu.au/programming/gsl-1.0/gsl-ref_16.html