asa241

asa241, a C++ code which computes the inverse of the Normal Cumulative Density Function (CDF), 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 MIT 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++ code which evaluates the percentage points of the Normal distribution.

asa241_test

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

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

TEST_VALUES, a C++ code 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:

• asa241.cpp, the source code.
• asa241.sh, compiles the source code.
• asa241.hpp, the include file.