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I am looking for a package that provides mathematical functions for the non-symmetrical (skewed) normal distribution and also the poisson and exponential distributions.

I originally looked at the Colt package but it does not provide the inverse cumulative function.

So I changed to Apache Commons Math3 which provides a much more comprehensive set of functionality, including the inverse cumulative probability of all distributions.

However, now I hit a wall again because I need the Normal Distribution to be parametrized for a non symmetric shape (i.e. left part of the mean is different than the right part of the mean). Are you aware of any package that supports all the above?

jbx
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2 Answers2

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We have worked with JSC, and SSJ. Both have many distribution functions and its respectives inverse functions.

nashuald
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  • Thanks for the information. However I can't seem to find any reference to a Normal Distribution that takes the skew/kurtosis parameters in both of the packages. – jbx Nov 21 '12 at 17:09
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Seems like such a library is hard to find. How about implementing it by yourself? Have a look at Numerical Recipes. The 2nd edition of the book is freely available.

claasz
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