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Chapter Contents
Chapter Introduction
NAG Toolbox

NAG Toolbox: nag_univar_ci_poisson (g07ab)


    1  Purpose
    2  Syntax
    7  Accuracy
    9  Example


nag_univar_ci_poisson (g07ab) computes a confidence interval for the mean argument of the Poisson distribution.


[tl, tu, ifail] = g07ab(n, xmean, clevel)
[tl, tu, ifail] = nag_univar_ci_poisson(n, xmean, clevel)


Given a random sample of size n, denoted by x1,x2,,xn, from a Poisson distribution with probability function
px=e-θ θxx! ,  x=0,1,2,  
the point estimate, θ^, for θ is the sample mean, x-.
Given n and x- this function computes a 1001-α% confidence interval for the argument θ, denoted by [θl,θu], where α is in the interval 0,1.
The lower and upper confidence limits are estimated by the solutions to the equations
e-nθlx=T nθlxx! =α2, e-nθux=0Tnθuxx! =α2,  
where T=i=1nxi=nθ^.
The relationship between the Poisson distribution and the χ2-distribution (see page 112 of Hastings and Peacock (1975)) is used to derive the equations
θl= 12n χ2T,α/22, θu= 12n χ2T+2,1-α/22,  
where χν,p2 is the deviate associated with the lower tail probability p of the χ2-distribution with ν degrees of freedom.
In turn the relationship between the χ2-distribution and the gamma distribution (see page 70 of Hastings and Peacock (1975)) yields the following equivalent equations;
θl= 12n γT,2;α/2, θu= 12n γT+1,2;1-α/2,  
where γα,β;δ is the deviate associated with the lower tail probability, δ, of the gamma distribution with shape argument α and scale argument β. These deviates are computed using nag_stat_inv_cdf_gamma (g01ff).


Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth
Snedecor G W and Cochran W G (1967) Statistical Methods Iowa State University Press


Compulsory Input Parameters

1:     n int64int32nag_int scalar
n, the sample size.
Constraint: n1.
2:     xmean – double scalar
The sample mean, x-.
Constraint: xmean0.0.
3:     clevel – double scalar
The confidence level, 1-α, for two-sided interval estimate. For example clevel=0.95 gives a 95% confidence interval.
Constraint: 0.0<clevel<1.0.

Optional Input Parameters


Output Parameters

1:     tl – double scalar
The lower limit, θl, of the confidence interval.
2:     tu – double scalar
The upper limit, θu, of the confidence interval.
3:     ifail int64int32nag_int scalar
ifail=0 unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

Errors or warnings detected by the function:
On entry,n<1,
When using the relationship with the gamma distribution to calculate one of the confidence limits, the series to calculate the gamma probabilities has failed to converge. Both tl and tu are set to zero. This is a very unlikely error exit and if it occurs please contact NAG.
An unexpected error has been triggered by this routine. Please contact NAG.
Your licence key may have expired or may not have been installed correctly.
Dynamic memory allocation failed.


For most cases the results should have a relative accuracy of max0.5e-12,50.0×ε where ε is the machine precision (see nag_machine_precision (x02aj)). Thus on machines with sufficiently high precision the results should be accurate to 12 significant digits. Some accuracy may be lost when α/2 or 1-α/2 is very close to 0.0, which will occur if clevel is very close to 1.0. This should not affect the usual confidence intervals used.

Further Comments



The following example reads in data showing the number of noxious weed seeds and the frequency with which that number occurred in 98 subsamples of meadow grass. The data is taken from page 224 of Snedecor and Cochran (1967). The sample mean is computed as the point estimate of the Poisson argument θ. nag_univar_ci_poisson (g07ab) is then called to compute both a 95% and a 99% confidence interval for the argument θ.
function g07ab_example

fprintf('g07ab example results\n\n');

num   = [0:10];
ifreq = [3 17 26 16 18  9  3  5  0  1  0];

% Estimate Poison parameter
xmean = dot(num,ifreq)/sum(ifreq);
n     = int64(sum(ifreq));
fprintf('The point estimate of the Poisson parameter = %10.4f\n', xmean);

ci = [0.95, 0.99];

for j = 1:numel(ci)

  clevel = ci(j);
  % Calculate clevel confidence interval
  [tl, tu, ifail] = g07ab( ...
                           n, xmean, clevel);
  fprintf('\n%2d percent Confidence Interval for the estimate\n',100*clevel);
  fprintf('      (%7.4f, %7.4f)\n', tl, tu);

g07ab example results

The point estimate of the Poisson parameter =     3.0204

95 percent Confidence Interval for the estimate
      ( 2.6861,  3.3848)

99 percent Confidence Interval for the estimate
      ( 2.5874,  3.5027)

PDF version (NAG web site, 64-bit version, 64-bit version)
Chapter Contents
Chapter Introduction
NAG Toolbox

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