The Inverse of the Cumulative Standard Normal Probability Function

DOI10.1080/1065246031000081698MaRDI QIDQ4440683zbMATH OpenOpenAlexFDO

Authors Diego Dominici

Publication date 9 March 2004

Published in Integral Transforms and Special Functions (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0306264

zbMATH Keywords

probability distributionsspecial functions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Abstract: Some properties of the inverse of the Normal distribution are studied. Its derivatives, integrals and asymptotic behavior are presented.

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Cites work

• scientific article; zbMATH DE number 1253984 (Why is no real title available?)
• scientific article; zbMATH DE number 3212213 (Why is no real title available?)
• On the Lambert \(w\) function
• The inverse of the error function
• The pricing of options and corporate liabilities

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• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Anscombe's model for sequential clinical trials revisited
• Rapid evaluation of the inverse of the normal distribution function
• A generative model for fBm with deep ReLU neural networks
• Zero distribution of polynomials satisfying a differential-difference equation
• Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
• A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions
• The Gaussian rank correlation estimator: robustness properties
• Optimal sample planning for system state analysis with partial data collection

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