[Octave-bug-tracker] [bug #36607] norminv doesn't work for very small values

[anonymous]

Follow-up Comment #2, bug #36607 (project octave):

In Matlab, I get:


erfinv (-1 + [1e-16 1e-17 1e-18 1e-19 1e-20])
ans = -5.8639      -Inf      -Inf      -Inf      -Inf

norminv ([1e-16 1e-17 1e-18 1e-19 1e-20])
ans = -8.2221   -8.4938   -8.7573   -9.0133   -9.2623


norminv can also be calculated using erfcinv, as 


norminv = - sqrt (2) * erfcinv (2 * x);


which avoids the subtraction you mention.

Unfortunately, base Octave doesn't implement erfcinv, while the one
implemented in specfun simply defines it in terms of erfinv, hence it
recreates the aforementioned problem.

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