ASA241
Inverse of Normal CDF

ASA241 is a library of C++ routines, using single and double precision arithmetic, for computing 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, R_NORMAL_01_CDF_INVERSE, and D_NORMAL_01_CDF_INVERSE, suitable for single or double precision arithmetic calculations.

ASA241 is also available in a FORTRAN90 version and a MATLAB version.

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.C, the source code.
• asa241.H, the include file.
• asa241.csh, commands to compile the source code.

Examples and Tests:

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

List of Routines:

• D_NORMAL_01_CDF_INVERSE inverts the normal CDF.
• DPOLY_VALUE evaluates a double precision polynomial.
• NORMAL_01_CDF_VALUES returns some values of the Normal CDF.
• R_NORMAL_01_CDF_INVERSE inverts the normal CDF.
• RPOLY_VALUE evaluates a real polynomial.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

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