/// <summary>
/// Return P(test_statistic <= p), which is the quantile of p for a random variable with normal distribution N~(mu, sigma)
/// </summary>
/// <param name="p">The cumulative distribution function value</param>
/// <param name="mu">The mean of the normal distribution</param>
/// <param name="sigma">The standard deviation of the normal distribution</param>
/// <returns></returns>
public static double GetQuantile(double p, double mu, double sigma)
{
return(mu + sigma * Constants.Sqrt2 * InverseErrorFunction.GetInvErf(2 * p - 1));
}
/// <summary>
/// Return P(test_statistic <= p), which is the lower tail quantile of p for a random variable with normal distribution N~(0, 1)
/// This is the alternative implementation of GetQuatile
/// </summary>
/// <param name="p">The cumulative distribution function value</param>
/// <returns></returns>
public static double GetQuantile2(double p)
{
return(Constants.Sqrt2 * InverseErrorFunction.GetInvErf(2 * p - 1));
}