SECTION 15.22 INVERSE CUMULATIVE NORMAL

The Subroutine NRMCDFI computes the inverse of the cumulative normal distribution function. Denoting by F(x;mu,var) the value at x of the cumulative normal distribution function with mean given by mu and variance given by var, NRMCDFI computes for a given number y the value x for which

x=F-1(y)

Be sure to CALL DFLT before calling NRMCDFI and to include the COMMON/BPRINT/ common block. The call is


        CALL NRMCDFI(XMU,VAR,Y,ACC,ITERL,SOL,IER)

where

        XMU   = double precision mean (input)
        VAR   = double precision variance (input)
        Y     = double precision value of the CDF (input)
                (must be between 5.55111D-17 and 1.-5.55111D-17)
        ACC   = double precision accuracy required (e.g.,0.00001) (input)
        ITERL = integer iteration limit (input)
        SOL   = double precision solution (output)	 
        IER   = error return (=-3 input error, =-1 iteration limit exceeded)
	            (output)			
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