Postgresql function equivalent to Excel's NORMSINV function?

Question

I need Excel's NORMSINV equivalent function for PostgreSQL, preferably plpgsql function. Can somebody help? For reference, here is Excel's normsinv function explained: https://support.microsoft.com/en-us/help/826772/excel-statistical-functions-normsinv

Answer 1

This is debugged David Fetter's function:

CREATE OR REPLACE FUNCTION public.normsinv(prob double precision)
RETURNS double precision
LANGUAGE sql

COST 100
IMMUTABLE STRICT PARALLEL SAFE
    AS $BODY$
    WITH constants(a,b,c,d,p_low, p_high) AS (
        VALUES(
            ARRAY[-3.969683028665376e+01::float8 , 2.209460984245205e+02 , -2.759285104469687e+02 , 1.383577518672690e+02 , -3.066479806614716e+01 , 2.506628277459239e+00],
            ARRAY[-5.447609879822406e+01::float8 , 1.615858368580409e+02 , -1.556989798598866e+02 , 6.680131188771972e+01 , -1.328068155288572e+01],
            ARRAY[-7.784894002430293e-03::float8 , -3.223964580411365e-01 , -2.400758277161838e+00 , -2.549732539343734e+00 , 4.374664141464968e+00 , 2.938163982698783e+00],
            ARRAY[7.784695709041462e-03::float8 , 3.224671290700398e-01 , 2.445134137142996e+00 , 3.754408661907416e+00],
            0.02425::float8,
            (1 - 0.02425)::float8
        )
    ),
    intermediate(p, q, r) AS (
        SELECT
            prob AS p,
            CASE
                WHEN prob >0 AND prob < p_low THEN sqrt(-2*ln(prob))
                WHEN prob >= p_low AND prob <= p_high THEN prob - 0.5
                WHEN prob > p_high AND prob < 1 THEN sqrt(-2*ln(1-prob))
                ELSE NULL
            END AS q,
            CASE
                WHEN prob >= p_low OR prob <= p_high THEN (prob - 0.5)*(prob - 0.5)
                ELSE NULL
            END AS r
        FROM constants
    )
    SELECT
        CASE
            WHEN p  <  0 OR
                 p  >  1 THEN 'NaN'::float8
            WHEN p  =  0 THEN '-Infinity'::float8
            WHEN p  =  1 THEN  'Infinity'::float8
            WHEN p  <  p_low THEN
                (((((c[1]*q+c[2])*q+c[3])*q+c[4])*q+c[5])*q+c[6]) /
                 ((((d[1]*q+d[2])*q+d[3])*q+d[4])*q+1)
            WHEN p  >= p_low AND p <= p_high THEN
                (((((a[1]*r+a[2])*r+a[3])*r+a[4])*r+a[5])*r+a[6])*q /
                (((((b[1]*r+b[2])*r+b[3])*r+b[4])*r+b[5])*r+1)
            WHEN p  >  p_high THEN
                -(((((c[1]*q+c[2])*q+c[3])*q+c[4])*q+c[5])*q+c[6]) /
                 ((((d[1]*q+d[2])*q+d[3])*q+d[4])*q+1)
            ELSE /* This should never happen */
                (p*0)/0 /* This should cause an error */
            END
    FROM
        intermediate
    CROSS JOIN
        constants
$BODY$;