Javascript equivalent for Inverse normal function ? eg Excel's NORMSINV() or NORMINV()?

Question

I'm trying to convert something from my excel spreadsheets into Javascript and came along the NORMSINV() macro in my spreadsheets.

The NormSInv() is nicely documented at http://office.microsoft.com/en-us/excel-help/normsinv-HP005209195.aspx. Basically it's of the form Z = NormSInv(probability) where if you give it the probability (say 0.90), it gives you the Z value for a standard normal distribution (Z= 1.33).

I could encode the entire transformation table as per http://en.wikipedia.org/wiki/Standard_normal_table but want to avoid reinventing the wheel.

So, is there such a function in Javascript? eg. in Javascript's math libraries (if there is such a thing!).

Thanks Sid

Answer 1

I ended up implementing the NormSInv() in javascript myself. No point in including an entire stats library when I need just one function

function NormSInv(p) {
    var a1 = -39.6968302866538, a2 = 220.946098424521, a3 = -275.928510446969;
    var a4 = 138.357751867269, a5 = -30.6647980661472, a6 = 2.50662827745924;
    var b1 = -54.4760987982241, b2 = 161.585836858041, b3 = -155.698979859887;
    var b4 = 66.8013118877197, b5 = -13.2806815528857, c1 = -7.78489400243029E-03;
    var c2 = -0.322396458041136, c3 = -2.40075827716184, c4 = -2.54973253934373;
    var c5 = 4.37466414146497, c6 = 2.93816398269878, d1 = 7.78469570904146E-03;
    var d2 = 0.32246712907004, d3 = 2.445134137143, d4 = 3.75440866190742;
    var p_low = 0.02425, p_high = 1 - p_low;
    var q, r;
    var retVal;

    if ((p < 0) || (p > 1))
    {
        alert("NormSInv: Argument out of range.");
        retVal = 0;
    }
    else if (p < p_low)
    {
        q = Math.sqrt(-2 * Math.log(p));
        retVal = (((((c1 * q + c2) * q + c3) * q + c4) * q + c5) * q + c6) / ((((d1 * q + d2) * q + d3) * q + d4) * q + 1);
    }
    else if (p <= p_high)
    {
        q = p - 0.5;
        r = q * q;
        retVal = (((((a1 * r + a2) * r + a3) * r + a4) * r + a5) * r + a6) * q / (((((b1 * r + b2) * r + b3) * r + b4) * r + b5) * r + 1);
    }
    else
    {
        q = Math.sqrt(-2 * Math.log(1 - p));
        retVal = -(((((c1 * q + c2) * q + c3) * q + c4) * q + c5) * q + c6) / ((((d1 * q + d2) * q + d3) * q + d4) * q + 1);
    }

    return retVal;
}