Yueyoum Yueyoum - 4 months ago 324
Python Question

How to calculate the inverse of the normal cumulative distribution function in python?

How do I calculate the inverse of the cumulative distribution function (CDF) of the normal distribution in Python?

Which library should I use? Possibly scipy?

Answer

NORMSINV (mentioned in a comment) is the inverse of the CDF of the standard normal distribution. Using scipy, you can compute this with the ppf method of the scipy.stats.norm object. The acronym ppf stands for percent point function, which is another name for the quantile function.

In [20]: from scipy.stats import norm

In [21]: norm.ppf(0.95)
Out[21]: 1.6448536269514722

Check that it is the inverse of the CDF:

In [34]: norm.cdf(norm.ppf(0.95))
Out[34]: 0.94999999999999996

By default, norm.ppf uses mean=0 and stddev=1, which is the "standard" normal distribution. You can use a different mean and standard deviation by specifying the loc and scale arguments, respectively.

In [35]: norm.ppf(0.95, loc=10, scale=2)
Out[35]: 13.289707253902945

If you look at the source code for scipy.stats.norm, you'll find that the ppf method ultimately calls scipy.special.ndtri. So to compute the inverse of the CDF of the standard normal distribution, you could use that function directly:

In [43]: from scipy.special import ndtri

In [44]: ndtri(0.95)
Out[44]: 1.6448536269514722