Denote by N(x;m,v) the normal density in the variable x, with mean m and variance v and further denote by Iab the integral from a to b. Then, INVGAUS finds the number z for which
for given y.
The call is
CALL INVGAUS(XMU,VAR,Y,ACC,ITERL,IER,SOL) where XMU = REAL*8 mean of the distribution (input) VAR = REAL*8 variance of the distribution (input) Y = REAL*8 value of integral as above (input) ACC = REAL*8 desired accuracy (e.g., 0.000001) (input) ITERL = iteration limit for algorithm (input) IER = error return (=0 for normal termination, =-1 iteration limit exceeded, =-42 see REGFAL in Section 11.htm ) SOL = REAL*8 solution (i.e., the value of z in the formula) (output)Return to