Percent point function (inverse of `CDF`) in pymc

I think there is one, but I forgot. But you can use the pm.math.erf to compute it:

    def cdf(x):
        return 0.5 + 0.5 * pm.math.erf(x / pm.math.sqrt(2))

    def invcdf(x):
        return -pm.math.sqrt(2) * pm.math.erfinv(2*x)
1 Like