math function in mata

[Luis Pecht]

Hi, a simple question

I need to calculate the inverse cumulative standard normal distribution in a column vector.

in Stata, would be:

. di invnormal(0.18)
-.91536509

. di invnormal(0.09)
-1.340755

however , I could not find a equivalent:

. mata
------------------------------------------------- mata (type end to exit) --------------------------------------------------------------------------------------------------------------

: a=(0.18\0.09)

: a
         1
    +-------+
  1 |  .18  |
  2 |  .09  |
    +-------+

: end

I am expecting:

: a
           1       2
    +-----------------+
  1 |    .18    -.91  |
  2 |    .09   -1.34  |
    +-----------------+

Is iterating with

:stata("....")

the only way to go ?

[Maarten Buis]

No, to get what you want try:

mata:

p = 0.18 \ 0.09
p, invnormal(p)

end

[Luis Pecht]

thanks, Maarten, so I assume that all Stata's math function can be such easily applied in Mata environment.

[William Lisowski]

The output of

help m4_intro

links to descriptions of all the functions available in the Mata environment.

[Luis Pecht]

thanks Willian and Maarten,

following up on the subject, I was wondering whether any mata function is able to returns the CUMULATIVE normal distribution for a specified mean and standard deviation.

Excel has NORM.DIST function and I am still avoid using class Quadrature().

AFAIK normal and normalden does not provide CUMULATIVE probability.

: normalden(0,0,1)
  .3989422804

Area (probability) should be 0.5.

[William Lisowski]

: normal(0)
  .5

Note that if you want the cumulative value of the N(μ,σ²) distribution at x, you need to translate the distribution to the standard N(0,1) normal distribution.

normal((x-μ)/σ)

[Luis Pecht]

perfect!