Rapid evaluation of the inverse of the normal distribution function

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

Statistics & Probability Letters, 1994, vol. 19, issue 4, 259-266

Abstract: Here is a method for very fast evaluation of the inverse of the normal distribution--in two versions. The first, given u, rapidly produces the solution x to 2 , to within the accuracy available in single precision arithmetic. The second is faster. Using one less term in an expansion, it provides accuracy to within 0.000002--suitable for generating a normal random variable by direct inversion of its distribution function.

Date: 1994
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