normalCDF_Inv - fabiankindermann/ce-fortran GitHub Wiki

function normalCDF_Inv(x, mu, sigma)

Calculates the inverse of the cumulative distribution function

of the normal distribution with mean and variance .

• real*8 :: x
  The point where to evaluate the inverse of the cumulative distribution function of the normal distribution.

• real*8 :: mu
  The mean of the distribution. If not present, the function uses mu = 0.
• real*8 :: sigma
  The variance of the distribution. If not present, the function uses sigma = 1. Note that this input variable needs to be strictly greater than zero.

• real*8 :: normalCDF_Inv
  The value of the inverse of the cumulative distribution function at x.

• Parts of this routine were copied and adapted from:
  • Fortran Code by John Burkardt available as Algorithm ASA241.
• For further reading refer to:
  • Toral, R. & Colet, P. (2014). Stochastic Numerical Methods: An Introduction for Students and Scientists. Weinheim: Wiley.
  • Wichura, M. (1988). Algorithm AS 241: The Percentage Points of the Normal Distribution. Applied Statistics, 37(3), 477-484.