The deviate,
associated with the lower tail probability,
, for the standard Normal distribution is defined as the solution to
where
The method used is an extension of that of
Wichura (1988).
is first replaced by
.
(a) |
If , is computed by a rational Chebyshev approximation
where and , are polynomials of degree . |
(b) |
If , is computed by a rational Chebyshev approximation
where and , are polynomials of degree . |
(c) |
If , is computed as
where and , are polynomials of degree . |
Wichura (1988) Algorithm AS 241: the percentage points of the Normal distribution Appl. Statist. 37 477–484
None.
Four values of
tail and
p are input and the deviates calculated and printed.