int __stdcall NDK_PROBIT | ( | double * | X, |
size_t | N, | ||
WORD | retTYpe | ||
) |
Computes the probit transformation, including its inverse.
- Returns
- status code of the operation
- Return values
-
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
- Parameters
[in,out] X is the univariate time series data (a one dimensional array). [in] N is the number of observations in X. [in] retTYpe is a number that determines the type of return value: 1 (or missing)=probit , 2=inverse probit.
- Remarks
- The probit link function is commonly used for parameters that lie in the unit interval.
- Numerical values of X close to 0 or 1 or out of range result in #VALUE! or #N/A.
- The probit function is defined as the inverse cumulative distribution function (CDF): \[ y=\textit{Probit}(x)=\Phi^{-1}(x)\] And \[ x=\textit{probit}^{-1}(y)=\Phi(y)=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^{y}e^{\frac{-Z^2}{2}}dz \] Where:
- \(x_{t}\) is the value of the input time series at time \(t\)
- \(y_{t}\) is the transformed probit value at time \(t\)
- \(\textit{probit}^{-1}(y)\) is the inverse probit function
- The probit function accepts a single value or an array of values for X.
- Requirements
-
Header SFSDK.H Library SFSDK.LIB DLL SFSDK.DLL
- Examples
Namespace: | NumXLAPI |
Class: | SFSDK |
Scope: | Public |
Lifetime: | Static |
int NDK_PROBIT | ( | double[] | pData, |
UIntPtr | nSize, | ||
short | argRetType | ||
) |
Computes the probit transformation, including its inverse.
- Returns
- status code of the operation
- Return values
-
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
- Parameters
[in,out] pData is the univariate time series data (a one dimensional array). [in] nSize is the number of observations in pData. [in] argRetType is a number that determines the type of return value: 1 (or missing)=probit , 2=inverse probit.
- Remarks
- The probit link function is commonly used for parameters that lie in the unit interval.
- Numerical values of X close to 0 or 1 or out of range result in #VALUE! or #N/A.
- The probit function is defined as the inverse cumulative distribution function (CDF): \[ y=\textit{Probit}(x)=\Phi^{-1}(x)\] And \[ x=\textit{probit}^{-1}(y)=\Phi(y)=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^{y}e^{\frac{-Z^2}{2}}dz \] Where:
- \(x_{t}\) is the value of the input time series at time \(t\)
- \(y_{t}\) is the transformed probit value at time \(t\)
- \(\textit{probit}^{-1}(y)\) is the inverse probit function
- The probit function accepts a single value or an array of values for X.
- Exceptions
-
Exception Type Condition None N/A
- Requirements
-
Namespace NumXLAPI Class SFSDK Scope Public Lifetime Static Package NumXLAPI.DLL
- Examples
- References
- * John H. Aldrich, Forrest D. Nelson; Linear Probability, Logit, and Probit Models; SAGE Publications, Inc; 1st Edition(Nov 01, 1984), ISBN: 0803921330
- * Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
- * Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
- * D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
- * Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848