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Rapid evaluation of the inverse of the normal distribution function

Author

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  • Masaglia, George
  • Zaman, Arif
  • Marsaglia, John C. W.

Abstract

Here is a method for very fast evaluation of the inverse of the normal distribution--in two versions. The first, given u, rapidly produces the solution x to 2 , to within the accuracy available in single precision arithmetic. The second is faster. Using one less term in an expansion, it provides accuracy to within 0.000002--suitable for generating a normal random variable by direct inversion of its distribution function.

Suggested Citation

  • Masaglia, George & Zaman, Arif & Marsaglia, John C. W., 1994. "Rapid evaluation of the inverse of the normal distribution function," Statistics & Probability Letters, Elsevier, vol. 19(4), pages 259-266, March.
    • Handle: RePEc:eee:stapro:v:19:y:1994:i:4:p:259-266
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    Cited by:

    1. Maria Giuseppina Bruno & Antonio Grande, "undated". "Un nuovo algoritmo di inversione della distribuzione normale standardizzata e sue applicazioni finanziarie," Working Papers 131/14, Sapienza University of Rome, Metodi e Modelli per l'Economia, il Territorio e la Finanza MEMOTEF.
    2. Paul Glasserman & Jeremy Staum, 2001. "Conditioning on One-Step Survival for Barrier Option Simulations," Operations Research, INFORMS, vol. 49(6), pages 923-937, December.

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