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Title

An Intermediate-Precision Approximation of the Inverse Cumulative Normal Distribution
Author

K. Bogen
Journal / Anthology

Communications in Statistics -- Simulation and Computation
Year: 1993
Volume: 22
Issue: 3
Page range: 797-801
Description

Accurate methods used to evaluate the inverse of the standard normal cumulative distribution function at probability p commonly used today are too cumbersome and/or slow to obtain a large number of evaluations reasonably quickly, e.g., as required in certain Monte Carlo applications. Previously reported simple approximations all have a maximum absolute error em>10 to the -4 for a p-range of practical concern such as Min[p,1-p]>=10 to the -6. An 11-term polynomial-based approximation is presented for which em<10 to the -6 in this range.
Subject

*Mathematics > Probability and Statistics