Computer Evaluation of the Normal and Inverse Normal Distribution Functions
- Resource Type
- research-article
- Authors
- Milton, Roy C.; Hotchkiss, Richard
- Source
- Technometrics, 1969 Nov 01. 11(4), 817-822.
- Subject
- Algorithms
Gaussian distributions
Polynomials
Approximation
Decimals
Fortran
- Language
- English
- ISSN
- 00401706
An algorithm involving polynomial approximations for evaluation of the normal distribution function is presented which may be implemented in fast and accurate computer programs of moderate length. Using this approximation and simple two-step Newton-Raphson iteration, the evaluation of the inverse normal distribution function is achieved with reasonable accuracy.