ATP Definition: NORMSINV (87866)


The information in this article applies to:

  • Microsoft Excel for Windows 95
  • Microsoft Excel for Windows 5.0c
  • Microsoft Excel for Windows 4.0
  • Microsoft Excel for the Macintosh 5.0a
  • Microsoft Excel for the Macintosh 4.0
This article was previously published under Q87866

SUMMARY

The versions of Microsoft Excel listed at the beginning of this article provide a set of special analysis tools called the Analysis ToolPak. This article is part of a series of articles that provide information on the underlying formulas used in the Analysis ToolPak.

This article covers the following function:

NORMSINV(probability)

MORE INFORMATION

The NORMSINV function returns the inverse of the standard normal cumulative distribution function for a particular probability. In other words, given a probability, p, the NORMSINV function returns the value, x, of the normally distributed random variable, Z(0,1), which attains that probability. The Excel function adheres to the following mathematical approximation, x(p), of the inverse of the standard normal CDF:

x(p) = t - (c0+c1*t+c2*t^2)/(1+d1*t+d2*t^2+d3*t^3) + error(p)

where:

t = sqrt(ln(1/p^2))
c0 = 2.515517
c1 = 0.802853
c2 = 0.10328
d1 = 1.432788
d2 = 0.1889269
d3 = 0.001308


With these parameters, abs(error(p))<4.5*10^-4.

REFERENCES

"Handbook of Mathematical Functions", Abramowitz & Stegun, formula 26.2.23, page 933

"Microsoft Excel Function Reference," version 4.0, pages 288-289
Modification Type:MinorLast Reviewed:8/15/2005
Keywords:kbinfo KB87866
©2004 Microsoft Corporation. All rights reserved.