ASA241
Inverse of Normal Cumulative Density Function (CDF)

ASA241 is a C library which computes the inverse of the Normal Cumulative Density Function (CDF), by Michael Wichura;

ASA241 is Applied Statistics Algorithm 241. Source code for many Applied Statistics Algorithms is available through STATLIB.

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.

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.

Author:

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

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.c, the source code.
• asa241.h, the include file.

Examples and Tests:

• asa241_test.c, a sample problem.
• asa241_test.txt, the output file.

List of Routines:

• NORMAL_01_CDF_VALUES returns some values of the Normal01 CDF.
• R4_HUGE returns a "huge" R4.
• R4_NORMAL_01_CDF_INVERSE inverts the standard normal CDF.
• R4POLY_VALUE evaluates a real polynomial.
• R8_HUGE returns a "huge" R8.
• R8_NORMAL_01_CDF_INVERSE inverts the standard normal CDF.
• R8POLY_VALUE evaluates a double precision polynomial.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the C source codes.