ASA241
Inverse of Normal CDF


ASA241, a C++ library which computes the inverse of the Normal Cumulative Density Function, by Michael Wichura.

ASA241 is Applied Statistics Algorithm 241.

The library includes two routines, R4_NORMAL_01_CDF_INVERSE, and R8_NORMAL_01_CDF_INVERSE, suitable for single precision real or double precision real arithmetic calculations.

Licensing:

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

Languages:

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

Related Data and Programs:

ASA111, a C++ library which evaluates the percentage points of the Normal distribution.

asa241_test

DCDFLIB, a C++ library which contains routines for evaluating and inverting the normal CDF, and many other distributions.

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

TEST_VALUES, a C++ library which contains routines that store selected values of the normal CDF, and many other statistical distributions.

Reference:

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

Source Code:


Last revised on 31 January 2020.