Hi all,

I could use some help on the following problem:
Suppose I draw one random sample x out of a normal
distribution(pdf N(x,mu=0,stdev=1)). I calculate the
corresponding P-value as the integral of N between
-inf and x. I repeat this for inf times so I get a
distribution of P-values. Then I want to calculate
the integral of this new distribution between -inf
and a certain P-value p.
In my problem p is given and I want to calculate this
last integral. Mathematically, suppose norminv is the
inverse of the normal cdf, then I want to calculate:

integral between -inf and p of N(norminv(p),0,1)

Does anyone knows if there exists a way to calculate
this? If somebody can confirm it doesn't exist I can
use a sampling approach...

Thanks a lot!
Tim