NAG Library Routine Document

G01EFF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

G01EFF returns the lower or upper tail probability of the gamma distribution, with parameters

α

and

β

, via the routine name.

2 Specification

FUNCTION G01EFF (

TAIL, G, A, B, IFAIL)

REAL (KIND=nag_wp) G01EFF

INTEGER	IFAIL
REAL (KIND=nag_wp)	G, A, B
CHARACTER(1)	TAIL

3 Description

The lower tail probability for the gamma distribution with parameters

α

and

β

P (G \leq g)

, is defined by:

P (G \leq g; α, β) = \frac{1}{β^{α} Γ (α)} \int_{0}^{g} G^{α - 1} e^{- G / β} d G, α > 0.0, ​ β > 0.0 .

The mean of the distribution is

α β

and its variance is

α β^{2}

. The transformation

Z = \frac{G}{β}

is applied to yield the following incomplete gamma function in normalized form,

P (G \leq g; α, β) = P (Z \leq g / β : α, 1.0) = \frac{1}{Γ (α)} \int_{0}^{g / β} Z^{α - 1} e^{- Z} d Z .

This is then evaluated using S14BAF.

4 References

Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth

5 Parameters

1: TAIL – CHARACTER(1)Input

On entry: indicates whether an upper or lower tail probability is required.

$TAIL ='L'$: The lower tail probability is returned, that is $P (G \leq g : α, β)$ .
$TAIL ='U'$: The upper tail probability is returned, that is $P (G \geq g : α, β)$ .

Constraint:

TAIL ='L'

'U'

2: G – REAL (KIND=nag_wp)Input

On entry:

g

, the value of the gamma variate.

Constraint:

G \geq 0.0

3: A – REAL (KIND=nag_wp)Input

On entry: the parameter

α

of the gamma distribution.

Constraint:

A > 0.0

4: B – REAL (KIND=nag_wp)Input

On entry: the parameter

β

of the gamma distribution.

Constraint:

B > 0.0

5: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to

0

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

IFAIL = 1

2

3

4

on exit, then G01EFF returns

0.0

$IFAIL = 1$

On entry,

TAIL \neq'L'

'U'

$IFAIL = 2$

On entry,

G < 0.0

$IFAIL = 3$

On entry,	$A \leq 0.0$ ,
or	$B \leq 0.0$ .

$IFAIL = 4$: The solution did not converge in $600$ iterations. See S14BAF. The probability returned should be a reasonable approximation to the solution.

7 Accuracy

The result should have a relative accuracy of machine precision. There are rare occasions when the relative accuracy attained is somewhat less than machine precision but the error should not exceed more than

1

2

decimal places. Note also that there is a limit of

18

decimal places on the achievable accuracy, because constants in S14BAF are given to this precision.

8 Further Comments

The time taken by G01EFF varies slightly with the input parameters G, A and B.

9 Example

This example reads in values from a number of gamma distributions and computes the associated lower tail probabilities.

NAG Library Routine DocumentG01EFF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Routine Document

G01EFF