asa241

asa241, a FORTRAN90 code which computes the inverse of the Normal Cumulative Density Function (CDF), by Michael Wichura;

The code is Applied Statistics Algorithm 241.

The code includes two routines, R4_NORMAL_01_CDF_INVERSE, and R8_NORMAL_01_CDF_INVERSE, suitable for single or double precision 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 FORTRAN90 code which evaluates the percentage points of the Normal distribution.

asa241_test

DCDFLIB, a FORTRAN90 code which contains routines for evaluating and inverting the normal CDF, and many other distributions.

PROB, a FORTRAN90 code which contains routines for evaluating and inverting the normal CDF, and many other distributions.

TEST_VALUES, a FORTRAN90 code which contains routines that store selected values of the normal CDF, and many other statistical distributions.

Author:

Original FORTRAN77 version by Michael Wichura; FORTRAN90 version by John Burkardt.

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:

• asa241.f90, the source code.
• asa241.sh, compiles the source code.