Gaussian derivatives julia.jl

# Author: Yang kaili
# Date: 2021-3-4
# Gaussian distribution PDF, along with its first and second derivatives

using Distributions, Calculus, SpecialFunctions, Plots; pyplot()

xGrid = -5:0.01:5

PhiA(x) = 0.5*(1+erf(x/sqrt(2)))
PhiB(x) = cdf(Normal(),x)

println("Maximum difference between two CDF implementations: ",
maximum(PhiA.(xGrid) - PhiB.(xGrid)))

normalDensity(z) = pdf(Normal(),z)

d0 = normalDensity.(xGrid)
d1 = derivative.(normalDensity,xGrid)
d2 = second_derivative.(normalDensity, xGrid)

plot(xGrid, [d0 d1 d2], c=[:blue :red :green],label=["f(x)" "f’(x)" "f’’(x)"])
plot!([-5,5],[0,0], color=:black, lw=0.5, xlabel="x", xlims=(-5,5), label="")