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

Question

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 1

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 

Answer 2

Starting Python 3.8, the standard library provides the NormalDist object as part of the statistics module.

It can be used to get the inverse cumulative distribution function (inv_cdf - inverse of the cdf), also known as the quantile function or the percent-point function for a given mean (mu) and standard deviation (sigma):

from statistics import NormalDist  NormalDist(mu=10, sigma=2).inv_cdf(0.95) # 13.289707253902943 

Which can be simplified for the standard normal distribution (mu = 0 and sigma = 1):

NormalDist().inv_cdf(0.95) # 1.6448536269514715