ProbabilityUtils

A static class for calculating probabilities for normally distributed variables.

Methods

1. StandardDeviation(values) Does what it says on the tin.

2. Z(score, average, standardDeviation) Returns a normalised score (often referred to as a 'z-value') given a raw score and the mean and sd of a normal distribution.

3. Integral(f,a,b) Uses Simpson's 3/8 rule to approximate the definite integral of f between a and b. In other words, this gives you an approximation of:

4. StandardNormalPdf(x) Does what it says on the tin.

5. ProbabilityLessThanX(x) Returns the probability of getting a value less than x given a standard normal distribution.

6. ProbabilityLessThanX(x, mean, sd) Returns the probability of getting a value less than x given a non-standard normal distribution with mean and sd given.

How To Use

If you have a list of values that are normally distributed, find the mean and standard deviation by calling the built in C# method Average() and the method here StandardDeviation(values). Once you have these, you're away. You can get the probability of getting less than a value x by calling ProbabilityLessThanX(x, mean, sd) with the mean and standard deviation you already worked out. Alternatively, say you want the probability of getting a value less than x and greater than y, call Integral(StandardNormalPdf, y, x).