Rapid evaluation of the inverse of the normal distribution function

DOI10.1016/0167-7152(94)90174-0zbMath0798.65132OpenAlexW2051039768MaRDI QIDQ1324541

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

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 simulationtruncated Taylor seriessupercomputersnormal random variablenormal distribution functionFORTRAN programscPhi functionmassive parallel systems

Mathematics Subject Classification ID

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

Cites Work

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

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