Normal probability fixed point
( go to the article → https://www.johndcook.com/blog/2021/02/24/normal-probability-fixed-point/ )
Let Z be a standard normal random variable. Then there is a unique x such that Pr(Z < x) = x. That is, Φ has a unique fixed point where Φ is the CDF of a standard normal. It’s easy to find the fixed point: start anywhere and iterate Φ. Here’s a cobweb plot that […]
The post Normal probability fixed point first appeared on John D. Cook.
Feb. 25, 2021, 2:02 a.m.
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