[MATH-981] An improved algorithm for computing the inverse cumulative probability for the normal distribution

• Type: Sub-task
• Status: Closed
• Priority: Minor
• Resolution: Won't Fix
• Assignee: Unassigned
• Reporter: Thomas Neidhart
• Created: 26/May/13 20:48
• Updated: 23/Apr/16 09:47
• Resolved: 31/Aug/13 15:49

Description

The following page outlines an algorithm (and alternative algorithms) to compute the inverse cumulative probability for the normal distribution:

http://home.online.no/~pjacklam/notes/invnorm/

An implementation of this is also included in the referred contribution for a Monte Carlo engine.