ASA241
Inverse of Normal Cumulative Density Function (CDF)

ASA241 is a FORTRAN90 library 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 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:

ASA111, a FORTRAN90 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 FORTRAN90 library 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.

Examples and Tests:

• asa241_test.f90, a sample problem.
• asa241_test.txt, the output file.

List of Routines:

• NORMAL_01_CDF_VALUES returns some values of the Normal CDF.
• R4_NORMAL_01_CDF_INVERSE inverts the normal CDF.
• R4POLY_VALUE evaluates an R4POLY.
• R8_NORMAL_01_CDF_INVERSE inverts the normal CDF.
• R8POLY_VALUE evaluates an R8POLY.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the FORTRAN90 source codes.