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