InverseNormal
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Function Description
Returns ,
the inverse of the unit normal cumulative distribution function. This is the
value for which where
is
the cumulative unit Normal distribution function, see MnCumulativeNormal.
The function is not defined if .
In practice, the website uses a rational approximation to
the above function developed by Acklam (2005).
This is not the same approach used in some versions of Microsoft Excel which
appear to calculate this function using an iterative search method based on the
methodology Microsoft use to calculate .
Otherwise the equivalent function in Microsft Excel is NORMSINV.
where:
and:
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