Returns the argument, x, for which the area under the
Normal probability density function (integrated from
minus infinity to x) is equal to p.
For small arguments 0 < p < exp(-2), the program computes
z = sqrt( -2 log(p) ); then the approximation is
x = z - log(z)/z - (1/z) P(1/z) / Q(1/z) .
For larger arguments, x/sqrt(2 pi) = w + w^3 R(w^2)/S(w^2) ,
where w = p - 0.5 .
Inverse of Normal distribution function
Returns the argument, x, for which the area under the Normal probability density function (integrated from minus infinity to x) is equal to p.
For small arguments 0 < p < exp(-2), the program computes z = sqrt( -2 log(p) ); then the approximation is x = z - log(z)/z - (1/z) P(1/z) / Q(1/z) . For larger arguments, x/sqrt(2 pi) = w + w^3 R(w^2)/S(w^2) , where w = p - 0.5 .