Rapid evaluation of the inverse of the normal distribution function

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.

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Year of publication:	1994
Authors:	Masaglia, George ; Zaman, Arif ; Marsaglia, John C. W.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 4, p. 259-266
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254179