NORMSINV

Syntax: NORMSINV(P)

P = a probability value (0 < P < 1)

The inverse of the cumulative standard normal distribution function. NORMSINV returns the value X such that the integral from minus infinity to X of the standard normal distribution function is equal to P. P must be greater than 0 and less than 1.

The mathematical formulation is given by:

$$\mbox{{\it X}, such that} \; P = \int_{-\infty}^{X} \frac{1}{\sqrt{2\pi}} e^{-\frac{t^2}{2}} dt$$

Examples:

NORMSINV(0.5) = 0

NORMSINV(0.975) = 1.959964

NORMSINV(NORMSDIST(0.88)) = 0.88

NORMSINV(1) = Error

Excel function: NORMSINV