ASA066
The Standard Normal Cumulative Density Function

ASA066 is a MATLAB 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 FORTRAN90 version.

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

ASA241 is a MATLAB 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 MATLAB library which samples the normal distribution.

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

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

UNIFORM is a MATLAB 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:

• alnorm.m, computes the cumulative density of the standard normal distribution.
• normal_01_cdf_values.m, returns some values of the Normal 01 CDF.
• normp.m, computes the cumulative density of the standard normal distribution.
• nprob.m, computes the cumulative density of the standard normal distribution.
• timestamp.m, prints out the current YMDHMS date as a timestamp.

Examples and Tests:

• asa066_test.m, calls all the tests.
• asa066_test_output.txt, the output file.
• asa066_test01.m, tests ALNORM.
• asa066_test02.m, tests NORMP.
• asa066_test03.m, tests NPROB.

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