ASA066 The Standard Normal Cumulative Density Function (CDF)

ASA066 is a FORTRAN90 library which computes the cumulative density function (CDF) of the standard normal distribution, by David Hill.

ASA066 is Applied Statistics Algorithm 66.

Languages:

ASA066 is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

ASA111, a FORTRAN90 library which evaluates the percentage points of the normal distribution.

ASA241, a FORTRAN90 library which evaluates the percentage points of the normal distribution.

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

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

NORMAL, a FORTRAN90 library which samples the normal distribution.

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

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

UNIFORM, a FORTRAN90 library which samples the uniform distribution.

Author:

Original FORTRAN77 version by David Hill; FORTRAN90 version by John Burkardt.

Reference:

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.

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.

Last revised on 13 January 2008.