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Normal Quantile with Precision

version (3.24 KB) by Zdravko Botev
computes the normal quantile function with high precision for extreme values in the tail


Updated 27 Apr 2016

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computes the quantile function of the standard normal distribution, truncated to the interval [l,u].
Method designed for precision in the tails. Inf values for vectors 'l' and 'u' accepted;
%Example: Suppose you desire the median of Z~N(0,1), truncated to Z>9;
norminvp(0.5,9,Inf) %our method
% in contrast, Matlab's default norminv.m fails
pl=normcdf(9); norminv(0.5*(1-pl)+pl)

Botev, Z. I. (2016). "The normal law under linear restrictions:
simulation and estimation via minimax tilting". Journal of the Royal Statistical Society: Series B (Statistical Methodology). doi:10.1111/rssb.12162

For more information, see:

Cite As

Zdravko Botev (2022). Normal Quantile with Precision (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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