asa066

asa066, a C code which computes the cumulative density function of the standard normal distribution, by David Hill.

This is Applied Statistics Algorithm 66.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

asa066 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

asa066_test

asa111, a C code which evaluates the percentage points of the normal distribution.

asa241, a C code which evaluates the percentage points of the normal distribution.

normal, a C code which samples the normal distribution.

prob, a C code which evaluates and inverts a number of probabilistic distributions.

test_values, a C code which contains sample values for a number of distributions.

uniform, a C code which samples the uniform distribution.

Author:

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

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:

• asa066.h, the include file.
• asa066.sh, compiles the source code.

• alnorm.c computes the cumulative density of the standard normal distribution.
• normal_01_cdf_values.c returns some values of the Normal 01 CDF.
• normp.c computes the cumulative density of the standard normal distribution.
• nprob.c computes the cumulative density of the standard normal distribution.