Rapid evaluation of the inverse of the normal distribution function

DOI10.1016/0167-7152(94)90174-0MaRDI QIDQ1324541zbMATH OpenOpenAlexFDO

Authors John C. W. Marsaglia, George Marsaglia, Arif Zaman

Publication date 30 October 1994

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)90174-0

zbMATH Keywords

Monte Carlo simulationnormal random variablesupercomputerstruncated Taylor seriesnormal distribution functionFORTRAN programscPhi functionmassive parallel systems

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Approximations to statistical distributions (nonasymptotic) (62E17) Software, source code, etc. for problems pertaining to probability theory (60-04)

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Cites work

• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
• Normal (Gaussian) random variables for supercomputers

Cited in

(9)

• Sampling exactly from the normal distribution
• Approximating inverse cumulative distribution functions to produce approximate random variables
• scientific article; zbMATH DE number 4041135 (Why is no real title available?)
• An Efficient Polynomial Approximation to the Normal Distribution Function and Its Inverse Function
• An invertible approximation to the normal distribution function
• Double precision rational approximation algorithms for the standard normal first and second order loss functions
• scientific article; zbMATH DE number 4090662 (Why is no real title available?)
• Quantile mechanics II: Changes of variables in Monte Carlo methods and GPU-optimised normal quantiles
• Normal (Gaussian) random variables for supercomputers

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