ASA241
Inverse of Normal CDF

ASA241 is a MATLAB library which computes 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.

Related Data and Programs:

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

ASA241 is available in a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

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

TEST_VALUES is a MATLAB 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:

• normal_01_cdf_values.m, returns some values of the Normal 01 CDF.
• r4_huge.m, returns a "huge" R4.
• r4_normal_01_cdf_inverse.m, inverts the normal CDF.
• r4poly_value.m, evaluates an R4 polynomial.
• r8_huge.m, returns a "huge" R8.
• r8_normal_01_cdf_inverse.m, inverts the normal CDF.
• r8poly_value.m, evaluates an R8 polynomial.
• timestamp.m, prints the current YMDHMS date as a time stamp.

Examples and Tests:

• asa241_test.m, calls the tests.
• asa241_test01.m, tests R4_NORMAL_01_CDF_INVERSE.
• asa241_test02.m, tests R8_NORMAL_01_CDF_INVERSE.
• asa241_test_output.txt, sample problem output.