3.5.3.5.12 Norminv

Definition:

 xp = norminv(p) computes the deviate,x_p, associated with the given lower tail probability, p, of the standardized normal distribution

x_p is calculated for the given p such that

 p=\frac 1{\sqrt{2\pi }}\int_{-\infty }^{x_p}e^{-u^2/2}du -\infty <x_p<\infty

Parameters:

p (input, double)
the probability,p, from the required standardized Normal distribution. 0<p<1
xp (output, double)
the deviate,x_p.