OFFSET
1,1
COMMENTS
z_p is the number z such that Phi(z) = p, where Phi(x) = Integral_{t=-oo..x} (1/sqrt(2*Pi))*exp(-t^2/2)*dt is the cumulative distribution function of the standard normal distribution. This sequence gives z_0.995.
This number can also be denoted as probit(0.995), where probit(p) is the inverse function of Phi(x). See the Wikipedia link below.
LINKS
Eric Weisstein's World of Mathematics, Quantile Function
Wikipedia, Probit
EXAMPLE
If X ~ N(0,1), then P(X<=2.5758293035...) = 0.995, P(X<=-2.5758293035...) = 0.005.
PROG
(PARI) default(realprecision, 100); solve(x=0, 5, erfc(x)-2*0.005)*sqrt(2)
CROSSREFS
KEYWORD
nonn,cons
AUTHOR
Jianing Song, Nov 12 2019
STATUS
approved