v?CdfNormInv

Developer Reference for Intel® oneAPI Math Kernel Library for Fortran

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ID 766686

Date 12/16/2022

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v?CdfNormInv

Computes the inverse cumulative normal distribution function values of vector elements.

Syntax

call vscdfnorminv( n, a, y )

call vscdfnorminvi(n, a, inca, y, incy)

call vmscdfnorminv( n, a, y, mode )

call vmscdfnorminvi(n, a, inca, y, incy, mode)

call vdcdfnorminv( n, a, y )

call vdcdfnorminvi(n, a, inca, y, incy)

call vmdcdfnorminv( n, a, y, mode )

call vmdcdfnorminvi(n, a, inca, y, incy, mode)

Include Files

mkl_vml.f90

Input Parameters

Name	Type	Description
`n`	INTEGER, INTENT(IN)	Specifies the number of elements to be calculated.
`a`	DOUBLE PRECISION for vdcdfnorminv, vmdcdfnorminv REAL, INTENT(IN) for vscdfnorminv, vmscdfnorminv DOUBLE PRECISION, INTENT(IN) for vdcdfnorminv, vmdcdfnorminv	Array that specifies the input vector a.
inca, incy	INTEGER, INTENT(IN)	Specifies increments for the elements of `a` and `y`.
mode	INTEGER(KIND=8), INTENT(IN)	Overrides global VM mode setting for this function call. See vmlSetMode for possible values and their description.

Output Parameters

Name	Type	Description
`y`	DOUBLE PRECISION for vdcdfnorminv, vmdcdfnorminv REAL, INTENT(OUT) for vscdfnorminv, vmscdfnorminv DOUBLE PRECISION, INTENT(OUT) for vdcdfnorminv, vmdcdfnorminv	Array that specifies the output vector y.

Name

Type

Description

y

DOUBLE PRECISION for vdcdfnorminv, vmdcdfnorminv

REAL, INTENT(OUT) for vscdfnorminv, vmscdfnorminv

DOUBLE PRECISION, INTENT(OUT) for vdcdfnorminv, vmdcdfnorminv

Array that specifies the output vector y.

Description

The CdfNormInv function computes the inverse cumulative normal distribution function values for elements of the input vector a and writes them to the output vector y.

The inverse cumulative normal distribution function is defined as given by:

where CdfNorm(x) denotes the cumulative normal distribution function.

Useful relations:

Sparse Matrices That Can be Solved With PARDISO

where erfinv(x) denotes the inverse error function and erfcinv(x) denotes the inverse complementary error functions.

See also Figure "ErfInv Family Functions Relationship" in ErfInv function description for CdfNormInv function relationship with the other functions of ErfInv family.

Special Values for Real Function v?CdfNormInv(x)
Argument	Result	VM Error Status	Exception
+0.5	+0
+1	+∞	VML_STATUS_SING	ZERODIVIDE
-0	-∞	VML_STATUS_SING	ZERODIVIDE
+0	-∞	VML_STATUS_SING	ZERODIVIDE
X < -0	QNAN	VML_STATUS_ERRDOM	INVALID
X > +1	QNAN	VML_STATUS_ERRDOM	INVALID
+∞	QNAN	VML_STATUS_ERRDOM	INVALID
-∞	QNAN	VML_STATUS_ERRDOM	INVALID
QNAN	QNAN
SNAN	QNAN		INVALID

Parent topic: Special Functions

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v?CdfNormInv

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