NORMSINV: Calculating Inverse Cumulative Normal Distribution

How to:

The NORMSINV function performs calculations on a standard normal distribution curve, finding the normalized value that forms the upper boundary of a percentile in a standard normal distribution curve. This is the inverse of NORMSDST. For information about NORMSDST, see NORMSDST: Calculating Standard Cumulative Normal Distribution.

The results of NORMSINV are returned as double-precision and are accurate to 6 significant digits.
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Syntax: How to Calculate the Inverse Cumulative Standard Normal Distribution Function
NORMSINV(value, 'D8');

where:

value

Is a number between 0 and 1 (which represents a percentile in a standard normal distribution).

D8

Is the required format for the result. The value returned by the function is double-precision. You can assign it to a field with any valid numeric format.
Example: Using the NORMSINV Function

NORMSDST finds the percentile for the Z field. NORMSINV then returns this percentile to a normalized value: 

DEFINE FILE GGPRODS
-* CONVERT SIZE FIELD TO DOUBLE PRECISION
X/D12.5 = SIZE;
END 
TABLE FILE GGPRODS
SUM X NOPRINT CNT.X NOPRINT
-* CALCULATE MEAN AND STANDARD DEVIATION
COMPUTE NUM/D12.5 = CNT.X; NOPRINT
COMPUTE MEAN/D12.5 = AVE.X; NOPRINT
COMPUTE VARIANCE/D12.5 = ((NUM*ASQ.X) - (X*X/NUM))/(NUM-1); NOPRINT
COMPUTE STDEV/D12.5 = SQRT(VARIANCE); NOPRINT 
PRINT SIZE X NOPRINT
-* COMPUTE NORMALIZED VALUES AND USE AS INPUT TO NORMSDST FUNCTION
-* THEN USE RETURNED VALUES AS INPUT TO NORMSINV FUNCTION
-* AND CONVERT BACK TO DATA VALUES
COMPUTE Z/D12.5 = (X - MEAN)/STDEV;
COMPUTE NORMSD/D12.5 = NORMSDST(Z, 'D8');
COMPUTE NORMSI/D12.5 = NORMSINV(NORMSD, 'D8');
COMPUTE DSIZE/D12 = NORMSI * STDEV + MEAN;
BY PRODUCT_ID NOPRINT
END

The output shows that NORMSINV is the inverse of NORMSDST and returns the original values:

Size              Z         NORMSD         NORMSI            DSIZE
----              -         ------         ------            -----
  16        -.07298         .47091        -.07298               16
  12        -.80273         .21106        -.80273               12
  12        -.80273         .21106        -.80273               12
  20         .65678         .74434         .65678               20
  24        1.38654         .91721        1.38654               24
  20         .65678         .74434         .65678               20
  24        1.38654         .91721        1.38654               24
  16        -.07298         .47091        -.07298               16
  12        -.80273         .21106        -.80273               12
   8       -1.53249         .06270       -1.53249                8
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