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)
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