@railpath/finance-toolkit/dist/utils/inverseErf.js

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.inverseErf = inverseErf;
/**
 * Inverse error function approximation
 */
function inverseErf(x) {
    const a = 0.147;
    const b = 2 / (Math.PI * a) + Math.log(1 - x * x) / 2;
    const sqrt1 = Math.sqrt(b * b - Math.log(1 - x * x) / a);
    const sqrt2 = Math.sqrt(sqrt1 - b);
    return sqrt2 * Math.sign(x);
}