jburkardt

ASA241\ Inverse of Normal CDF {#asa241-inverse-of-normal-cdf align=”center”} =====================

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ASA241 is a C++ library which computes the inverse of the Normal Cumulative Density Function.

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: {#licensing align=”center”}

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages: {#languages align=”center”}

ASA241 is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs: {#related-data-and-programs align=”center”}

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

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

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.

Reference: {#reference align=”center”}

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: {#source-code align=”center”}

• asa241.cpp, the source code.
• asa241.hpp, the include file.

Examples and Tests: {#examples-and-tests align=”center”}

• asa241_prb.cpp, a sample problem.
• asa241_prb_output.txt, the output file.

List of Routines: {#list-of-routines align=”center”}

• 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.

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Last revised on 19 March 2010.