asa066

asa066, an Octave code which computes the cumulative density function (CDF) of the standard normal distribution, by David Hill.

This is a version of 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 and an Octave version and a Python version.

Related Data and Programs:

asa066_test

asa111, an Octave code which evaluates the percentage points of the normal distribution.

asa241, an Octave code which evaluates the percentage points of the normal distribution.

normal, an Octave code which samples the normal distribution.

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

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

uniform, an Octave code which samples the uniform distribution.

Author:

Original FORTRAN77 version by David Hill; This 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:

• alnorm.m, computes the cumulative density of the standard normal distribution.
• normp.m, computes the cumulative density of the standard normal distribution.
• nprob.m, computes the cumulative density of the standard normal distribution.