ASA241
Inverse of Normal CDF

ASA241 is a C++ library which computes the inverse of the Normal Cumulative Density Function.

ASA241 is Applied Statistics Algorithm 241. Source code for many Applied Statistics Algorithms is available through STATLIB.

The library includes two routines, R4_NORMAL_01_CDF_INVERSE, and R8_NORMAL_01_CDF_INVERSE, suitable for single precision real or double precision real arithmetic calculations.

Licensing:

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

Languages:

ASA241 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.

DCDFLIB, a C++ library which contains routines for evaluating and inverting the normal CDF, and many other distributions.

PROB, a C++ library which contains routines for evaluating and inverting the normal CDF, and many other distributions.

TEST_VALUES, a C++ library which contains routines that store selected values of the normal CDF, and many other statistical distributions.

Reference:

1. Michael Wichura,
   The Percentage Points of the Normal Distribution,
   Algorithm AS 241,
   Applied Statistics,
   Volume 37, Number 3, pages 477-484, 1988.

Source Code:

• asa241.cpp, the source code.
• asa241.hpp, the include file.
• asa241.sh, commands to compile the source code.

Examples and Tests:

• asa241_prb.cpp, a sample problem.
• asa241_prb.sh, commands to compile, link and run the sample problem.
• asa241_prb_output.txt, the output file.

List of Routines:

• NORMAL_01_CDF_VALUES returns some values of the Normal01 CDF.
• R4_HUGE returns a "huge" R4.
• R4_NORMAL_01_CDF_INVERSE inverts the standard normal CDF.
• R4POLY_VALUE evaluates a real polynomial.
• R8_HUGE returns a "huge" R8.
• R8_NORMAL_01_CDF_INVERSE inverts the standard normal CDF.
• R8POLY_VALUE evaluates a double precision polynomial.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

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