Normal distribution (also known as Gaussian distribution) is one of the most known continuous distributions. Strictly speaking, there is a set of normal distributions which differs in scale and shift. Hereinafter, by "normal distribution" we imply so called standard normal distribution - normal distribution having mean equal to 0 and standard deviation equal to 1.

Probability density of such normal distribution is:

Cumulative distribution function is expressed using the special function *erf(x)*:

**Erf** and **ErfC** subroutines are used to calculate the values of the special function *erf(x)* and its own complement. Inverse erf function is calculated by using the **InvErf** subroutine.

Normal distribution's cumulative distribution function is calculated using the **NormalDistribution** subroutine. Inverse cumulative distribution function is calculated by using the **InvNormalDistribution** subroutine.

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