ASA241
Inverse of Normal CDF

ASA241 is a library of FORTRAN90 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, R4_NORMAL_01_CDF_INVERSE, and R8_NORMAL_01_CDF_INVERSE, suitable for single or double precision arithmetic calculations.

Related Data and Programs:

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

ASA241 is also available in a C++ version and a FORTRAN77 version and a MATLAB version.

DCDFLIB is a FORTRAN90 library which contains routines for evaluating and inverting the normal CDF, and many other distributions.

PROB is a FORTRAN90 library which contains routines for evaluating and inverting the normal CDF, and many other distributions.

TEST_VALUES is a FORTRAN90 library which contains routines that store selected values of the normal CDF, and many other statistical distributions.

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:

• asa241.f90, the source code.
• asa241.csh, commands to compile the source code.

Examples and Tests:

• asa241_prb.f90, 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:

• NORMAL_01_CDF_VALUES returns some values of the Normal CDF.
• R4_NORMAL_01_CDF_INVERSE inverts the normal CDF.
• R4POLY_VALUE evaluates an R4POLY.
• R8_NORMAL_01_CDF_INVERSE inverts the normal CDF.
• R8POLY_VALUE evaluates an R8POLY.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the FORTRAN90 source codes.