ASA241
Inverse of Normal CDF

ASA241 is a library of MATLAB routines 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 C++ version and a FORTRAN90 version.

Reference:

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

Source code files you may copy include:

• d_huge.m, returns a "huge" double precision value.
• d_normal_01_cdf_inverse.m, inverts the normal CDF.
• dpoly_value.m, evaluates a double precision polynomial.
• normal_01_cdf_values.m, returns some values of the Normal 01 CDF.
• r_huge.m, returns a "huge" single precision value.
• r_normal_01_cdf_inverse.m, inverts the normal CDF.
• rpoly_value.m, evaluates a real polynomial.
• timestamp.m, prints the current YMDHMS date as a time stamp.

Test files you may copy include:

• asa241_test.m, calls the tests.
• asa241_test01.m, tests R_NORMAL_01_CDF_INVERSE.
• asa241_test02.m, tests D_NORMAL_01_CDF_INVERSE.
• asa241_test.out, sample problem output.