normalDistributionInv

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 .

real
normalDistributionInv
(
real p
)

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