Normal Quantile with Precision
computes the normal quantile function with high precision for extreme values in the tail
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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)
Reference:
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: https://en.wikipedia.org/wiki/Normal_distribution#Quantile_function
Cite As
Zdravko Botev (2026). Normal Quantile with Precision (https://se.mathworks.com/matlabcentral/fileexchange/53605-normal-quantile-with-precision), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Truncated Normal Generator, Multivariate normal cumulative distribution (QMC)
General Information
- Version 2.0.0.0 (3.24 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 2.0.0.0 | - updated the Newton method in "newton(p,l,u)" so that now the exit condition uses
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| 1.1.0.0 | Vectorized the last update of the function.
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| 1.0.0.0 | Uploaded better cover picture.
Added reference to article.
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