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43,50145/ndtri.doc
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SUBROUTINE NDTRI
PURPOSE
COMPUTES X = P**(-1)(Y), THE ARGUMENT X SUCH THAT Y= P(X) =
THE PROBABILITY THAT THE RANDOM VARIABLE U, DISTRIBUTED
NORMALLY(0,1), IS LESS THAN OR EQUAL TO X. F(X), THE
ORDINATE OF THE NORMAL DENSITY, AT X, IS ALSO COMPUTED.
USAGE
CALL NDTRI(P,X,D,IER)
DESCRIPTION OF PARAMETERS
P - INPUT PROBABILITY.
X - OUTPUT ARGUMENT SUCH THAT P = Y = THE PROBABILITY THAT
U, THE RANDOM VARIABLE, IS LESS THAN OR EQUAL TO X.
D - OUTPUT DENSITY, F(X).
IER - OUTPUT ERROR CODE
= -1 IF P IS NOT IN THE INTERVAL (0,1), INCLUSIVE.
X=D=.99999E+74 IN THIS CASE
= 0 IF THERE IS NO ERROR. SEE REMARKS, BELOW.
REMARKS
MAXIMUM ERROR IS 0.00045.
IF P = 0, X IS SET TO -(10)**74. D IS SET TO 0.
IF P = 1, X IS SET TO (10)**74. D IS SET TO 0.
SUBROUTINES AND SUBPROGRAMS REQUIRED
NONE
METHOD
BASED ON APPROXIMATIONS IN C. HASTINGS, APPROXIMATIONS FOR
DIGITAL COMPUTERS, PRINCETON UNIV. PRESS, PRINCETON, N.J.,
1955. SEE EQUATION 26.2.23, HANDBOOK OF MATHEMATICAL
FUNCTIONS, ABRAMOWITZ AND STEGUN, DOVER PUBLICATIONS, INC.,
NEW YORK.