ASA066
The Standard Normal Cumulative Density Function

ASA066 is a C++ library which computes the cumulative density function of the standard normal distribution, by David Hill.

ASA066 is Applied Statistics Algorithm 66. Source code for many Applied Statistics Algorithms is available through STATLIB.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

ASA066 is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

ASA111, a C++ library which evaluates the percentage points of the normal distribution.

ASA241, a C++ library which evaluates the percentage points of the normal distribution.

DCDFLIB, a C++ library which evaluates and inverts a number of statistical distributions.

GSL, a C++ library which includes many routines for evaluating probability distributions.

NORMAL, a C++ library which samples the normal distribution.

PROB, a C++ library which evaluates and inverts a number of probabilistic distributions.

TEST_VALUES, a C++ library which contains sample values for a number of distributions.

UNIFORM, a C++ library which samples the uniform distribution.

Author:

Original FORTRAN77 version by David Hill; C++ version by John Burkardt.

Reference:

1. AG Adams,
   Algorithm 39: Areas Under the Normal Curve,
   Computer Journal,
   Volume 12, Number 2, May 1969, pages 197-198.
2. John Hart, Ward Cheney, Charles Lawson, Hans Maehly, Charles Mesztenyi, John Rice, Henry Thacher, Christoph Witzgall,
   Computer Approximations,
   Wiley, 1968,
   LC: QA297.C64.
3. David Hill,
   Algorithm AS 66: The Normal Integral,
   Applied Statistics,
   Volume 22, Number 3, 1973, pages 424-427.

Source Code:

• asa066.cpp, the source code.
• asa066.hpp, the include file.
• asa066.sh, commands to compile the source code.

Examples and Tests:

• asa066_prb.cpp, a sample calling program.
• asa066_prb.sh, commands to compile and run the sample program.
• asa066_prb_output.txt, the output file.

List of Routines:

• ALNORM computes the cumulative density of the standard normal distribution.
• NORMAL_01_CDF_VALUES returns some values of the Normal 01 CDF.
• NORMP computes the cumulative density of the standard normal distribution.
• NPROB computes the cumulative density of the standard normal distribution.
• TIMESTAMP prints out the current YMDHMS date as a timestamp.

You can go up one level to the C++ source codes.