ASA241
Inverse of Normal Cumulative Density Function (CDF)

ASA241 is a FORTRAN77 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, PPND7, and PPND16, suitable for single or double precision arithmetic calculations.

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:

ASA066, a FORTRAN77 library which evaluates the CDF of the normal distribution.

ASA111, a FORTRAN77 library which evaluates the percentage points of the Normal distribution.

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

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

TEST_VALUES, a FORTRAN77 library which contains routines that store selected values of the normal CDF, and many other statistical distributions.

Author:

Original FORTRAN77 version by Michael Wichura; This FORTRAN77 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.f, the source code.
• asa241.sh, commands to compile the source code.

Examples and Tests:

• asa241_prb.f, a sample problem.
• asa241_prb.sh, commands to compile, link and run the sample problem.
• asa241_prb_output.txt, the output file.

List of Routines:

• NORMAL_CDF_VALUES returns some values of the Normal CDF.
• PPND7 produces the normal deviate value corresponding to lower tail area = P.
• PPND16 produces the normal deviate value corresponding to lower tail area = P.
• TIMESTAMP prints out the current YMDHMS date as a timestamp.

You can go up one level to the FORTRAN77 source codes.