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I read this post about math for Shapiro-Wilk test. And there is an expression for inverse normal distribution $\large m(n)=F^{-1}\left(\frac{n-\frac{3}{8}}{N+0.25}\right)$ for $n\in {1,2,..,N}.$

I suppose $F^{-1}$ stands for ${\displaystyle f(x;\mu ,\lambda )={\sqrt {\frac {\lambda }{2\pi x^{3}}}}\exp \left[-{\frac {\lambda (x-\mu )^{2}}{2\mu ^{2}x}}\right]}$

But where did the argument $\frac{n-\frac{3}{8}}{N+0.25}$ come from?

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  • $\begingroup$ Sorry, I misunderstood an aspect of your question; I have made a few adjustments to my answer. $\endgroup$
    – Glen_b
    Commented Nov 27, 2019 at 15:41

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$F^{-1}$ is the inverse-cdf (or quantile function).

What the Shapiro-Wilk does is use the inverse of the normal cdf (the normal quantile function) to transform adjusted uniform quantiles as a way of approximating expected normal quantiles.

You're looking at the density for the inverse Gaussian distribution which another distribution not relevant to the Shapiro-Wilk, and the density is not the thing being discussed.

Adjusted uniform quantiles of the form $u_i=\frac{i-\alpha}{n+1-2\alpha}$ $-$ of which this is an example (with $\alpha=\frac38$) $-$ come from Blom, 1958 [1].

It's a way of attempting to approximate expected values of order statistics that's suitable for symmetric distributions. That particular value of $\alpha$ is often used for the normal case.

[1] Blom, G. (1958), Statistical estimates and transformed beta variables, New York: John Wiley and Sons

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