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Library of Routines for Cumulative Distribution Functions Inverses, and Other Parameters


DCDFLIB (Double precision Cumulative Distribution Function LIBrary) is a collection of routines that calculate cumulative distribution functions, inverses, and parameters for common statistical distributions. DCDFLIB uses published algorithms where available, and literature citations are included in the documentation. Values associated with a statistical distribution include X, the upper limit of integration of the density, P, the cumulative distribution function evaluated at X, and auxiliary parameters such as degrees of freedom. Given all but one such value, a routine in DCDFLIB will calculate the one value. (CAVEAT: For the central and noncentral F, the cdf is sometimes not monotone in the degrees of freedom. For these parameters, there can be two answers. DCDFLIB finds an arbitrary one of the two in this case.) Routines are provided for the following distributions.

  • Beta
  • Binomial
  • Chi-square
  • Noncentral Chi-square
  • F
  • Noncentral F
  • Gamma
  • Negative Binomial
  • Normal
  • Poisson
  • Student's t
  • Noncentral t

CDFLIB90 is a translation of DCDFLIB into Fortran 95 with improvements. Compared to the older package, it offers an improved packaging, improved speed (a better monotone function inverter is used), and perhaps a minute amount of increased accuracy.

Contact: Barry W. Brown

Software developed by John Venier and Dan Serachitopol

Language: Fortran 77, C