Good algorithm for Inverse of cumulative Student's t?

From: Schizoid Man <schiz@xxxxxx>
Date: Fri, 18 Aug 2006 18:43:05 -0700

Hi,

I'm trying to set up a credit risk model that employees a Student t copula. For this purpose, I need algorithms for:

a. the cumulative distribution function of the Student t
b. the inverse of the cumulative distribution function of the Student t

I nicked the CDF from Numerical Recipes and it seems to do the job quite well, but I have not had much luck with the inverse algorithm.

I also needed to setup a Gaussian copula for which I used Excel's built-in NORMSDIST() for the CDF which was good enough, and P.J. Acklam's inverse algorithm, since NORMSINV() is meant to be quite horrible.

Thanks,
Schiz
.

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