Quantile function

The probit is the quantile function of the normal distribution.

In probability and statistics, the quantile function outputs the value of a random variable such that its probability is less than or equal to an input probability value. Intuitively, the quantile function associates with a range at and below a probability input the likelihood that a random variable is realized in that range for some probability distribution. It is also called the percentile function (after the percentile), percent-point function, inverse cumulative distribution function (after the cumulative distribution function or c.d.f.) or inverse distribution function.


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