ASA241
Inverse of Normal Cumulative Density Function (CDF)

ASA241 is a MATLAB library which computes the inverse of the Normal Cumulative Density Function (CDF), by Michael Wichura;

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 or double precision 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 MATLAB library which evaluates the percentage points of the Normal distribution.

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

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

Author:

Original FORTRAN77 version by Michael Wichura; Matlab version by John Burkardt.

Reference:

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

Source Code:

• normal_01_cdf_values.m, returns some values of the Normal 01 CDF.
• r4_huge.m, returns a "huge" R4.
• r4_normal_01_cdf_inverse.m, inverts the normal CDF.
• r4poly_value.m, evaluates an R4 polynomial.
• r8_huge.m, returns a "huge" R8.
• r8_normal_01_cdf_inverse.m, inverts the normal CDF.
• r8poly_value.m, evaluates an R8 polynomial.
• timestamp.m, prints the current YMDHMS date as a time stamp.

Examples and Tests:

• asa241_test.m, calls the tests.
• asa241_test01.m, tests R4_NORMAL_01_CDF_INVERSE.
• asa241_test02.m, tests R8_NORMAL_01_CDF_INVERSE.
• asa241_test_output.txt, sample problem output.