1.12.13 INVERTING THE CUMULATIVE NORMAL

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

I z-infinity N(x;m,n)dx=y

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)
	

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