ASA066
The Standard Normal Cumulative Density Function

ASA066 is a FORTRAN90 library, using double precision arithmetic, which computes the cumulative density function of the standard normal distribution.

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

Related Data and Programs:

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

ASA111 is a FORTRAN77 library which evaluates the percentage points of the normal distribution.

ASA241 is a FORTRAN77 library which evaluates the percentage points of the normal distribution.

DCDFLIB is a FORTRAN90 library which evaluates and inverts a number of statistical distributions.

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

NORMAL is a FORTRAN90 library which samples the normal distribution.

PROB is a FORTRAN90 library which evaluates and inverts a number of probabilistic distributions.

TEST_VALUES is a FORTRAN90 library which contains sample values for a number of distributions.

UNIFORM is a FORTRAN90 library which samples the uniform distribution.

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.f90, the source code.
• asa066.csh, commands to compile the source code.

Examples and Tests:

• asa066_prb.f90, a sample calling program.
• asa066_prb.csh, 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 FORTRAN90 source codes.