normsinv

Library "normsinv"

Description:
Returns the inverse of the standard normal cumulative distribution.
The distribution has a mean of zero and a standard deviation of one; i.e.,
normsinv seeks that value z such that a normal distribtuion of mean of zero
and standard deviation one is equal to the input probability.

Reference:
github.com/jeremybarnes/cephes/blob/master/cprob/ndtri.c

normsinv(y0)
  Returns the inverse of the standard normal cumulative distribution. The distribution has a mean of zero and a standard deviation of one.
  Parameters:
    y0: float, probability corresponding to the normal distribution.
  Returns: float, z-score