Motivation

A Percent Point Function (or Quantile Function or Inverse CDF) for each covered distribution would be a valuable addition, since it's highly relevant for common statistical problems and tests. Furthermore, complementary to the CDF, a Survival Function (1-cdf(x)) would be useful for statistics and engineering. The latter could be implemented as a separate procedure or by letting CDF return 1-cdf(x), conditional on an optional argument passed to the CDF function.

Prior Art

This is an example of an f90 implementation of a normal percent point function.

Reference:
Michael Wichura,
Algorithm AS 241: The Percentage Points of the Normal Distribution,
Applied Statistics,
Volume 37, Number 3, 1988, pages 477-484.

Additional Information

No response