# NAG CL Interfaceg01sdc (prob_​f_​vector)

Settings help

CL Name Style:

## 1Purpose

g01sdc returns a number of lower or upper tail probabilities for the $F$ or variance-ratio distribution with real degrees of freedom.

## 2Specification

 #include
 void g01sdc (Integer ltail, const Nag_TailProbability tail[], Integer lf, const double f[], Integer ldf1, const double df1[], Integer ldf2, const double df2[], double p[], Integer ivalid[], NagError *fail)
The function may be called by the names: g01sdc, nag_stat_prob_f_vector or nag_prob_f_vector.

## 3Description

The lower tail probability for the $F$, or variance-ratio, distribution with ${u}_{i}$ and ${v}_{i}$ degrees of freedom, $P\left({F}_{i}\le {f}_{i}:{u}_{i},{v}_{i}\right)$, is defined by:
 $P( Fi ≤ fi :ui,vi) = ui ui/2 vi vi/2 Γ ((ui+vi)/2) Γ (ui/2) Γ (vi/2) ∫ 0 fi Fi (ui-2) / 2 (uiFi+vi) - (ui+vi) / 2 d Fi ,$
for ${u}_{i}$, ${v}_{i}>0$, ${f}_{i}\ge 0$.
The probability is computed by means of a transformation to a beta distribution, ${P}_{{\beta }_{i}}\left({B}_{i}\le {\beta }_{i}:{a}_{i},{b}_{i}\right)$:
 $P( Fi ≤ fi :ui,vi) = Pβi( Bi ≤ ui fi ui fi + vi : ui / 2 , vi / 2 )$
and using a call to g01eec.
For very large values of both ${u}_{i}$ and ${v}_{i}$, greater than ${10}^{5}$, a normal approximation is used. If only one of ${u}_{i}$ or ${v}_{i}$ is greater than ${10}^{5}$ then a ${\chi }^{2}$ approximation is used, see Abramowitz and Stegun (1972).
The input arrays to this function are designed to allow maximum flexibility in the supply of vector arguments by re-using elements of any arrays that are shorter than the total number of evaluations required. See Section 2.6 in the G01 Chapter Introduction for further information.

## 4References

Abramowitz M and Stegun I A (1972) Handbook of Mathematical Functions (3rd Edition) Dover Publications
Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth

## 5Arguments

1: $\mathbf{ltail}$Integer Input
On entry: the length of the array tail.
Constraint: ${\mathbf{ltail}}>0$.
2: $\mathbf{tail}\left[{\mathbf{ltail}}\right]$const Nag_TailProbability Input
On entry: indicates whether the lower or upper tail probabilities are required. For , for $\mathit{i}=1,2,\dots ,\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{ltail}},{\mathbf{lf}},{\mathbf{ldf1}},{\mathbf{ldf2}}\right)$:
${\mathbf{tail}}\left[j\right]=\mathrm{Nag_LowerTail}$
The lower tail probability is returned, i.e., ${p}_{i}=P\left({F}_{i}\le {f}_{i}:{u}_{i},{v}_{i}\right)$.
${\mathbf{tail}}\left[j\right]=\mathrm{Nag_UpperTail}$
The upper tail probability is returned, i.e., ${p}_{i}=P\left({F}_{i}\ge {f}_{i}:{u}_{i},{v}_{i}\right)$.
Constraint: ${\mathbf{tail}}\left[\mathit{j}-1\right]=\mathrm{Nag_LowerTail}$ or $\mathrm{Nag_UpperTail}$, for $\mathit{j}=1,2,\dots ,{\mathbf{ltail}}$.
3: $\mathbf{lf}$Integer Input
On entry: the length of the array f.
Constraint: ${\mathbf{lf}}>0$.
4: $\mathbf{f}\left[{\mathbf{lf}}\right]$const double Input
On entry: ${f}_{i}$, the value of the $F$ variate with ${f}_{i}={\mathbf{f}}\left[j\right]$, .
Constraint: ${\mathbf{f}}\left[\mathit{j}-1\right]\ge 0.0$, for $\mathit{j}=1,2,\dots ,{\mathbf{lf}}$.
5: $\mathbf{ldf1}$Integer Input
On entry: the length of the array df1.
Constraint: ${\mathbf{ldf1}}>0$.
6: $\mathbf{df1}\left[{\mathbf{ldf1}}\right]$const double Input
On entry: ${u}_{i}$, the degrees of freedom of the numerator variance with ${u}_{i}={\mathbf{df1}}\left[j\right]$, .
Constraint: ${\mathbf{df1}}\left[\mathit{j}-1\right]>0.0$, for $\mathit{j}=1,2,\dots ,{\mathbf{ldf1}}$.
7: $\mathbf{ldf2}$Integer Input
On entry: the length of the array df2.
Constraint: ${\mathbf{ldf2}}>0$.
8: $\mathbf{df2}\left[{\mathbf{ldf2}}\right]$const double Input
On entry: ${v}_{i}$, the degrees of freedom of the denominator variance with ${v}_{i}={\mathbf{df2}}\left[j\right]$, .
Constraint: ${\mathbf{df2}}\left[\mathit{j}-1\right]>0.0$, for $\mathit{j}=1,2,\dots ,{\mathbf{ldf2}}$.
9: $\mathbf{p}\left[\mathit{dim}\right]$double Output
Note: the dimension, dim, of the array p must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{ltail}},{\mathbf{lf}},{\mathbf{ldf1}},{\mathbf{ldf2}}\right)$.
On exit: ${p}_{i}$, the probabilities for the $F$-distribution.
10: $\mathbf{ivalid}\left[\mathit{dim}\right]$Integer Output
Note: the dimension, dim, of the array ivalid must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{ltail}},{\mathbf{lf}},{\mathbf{ldf1}},{\mathbf{ldf2}}\right)$.
On exit: ${\mathbf{ivalid}}\left[i-1\right]$ indicates any errors with the input arguments, with
${\mathbf{ivalid}}\left[i-1\right]=0$
No error.
${\mathbf{ivalid}}\left[i-1\right]=1$
On entry, invalid value supplied in tail when calculating ${p}_{i}$.
${\mathbf{ivalid}}\left[i-1\right]=2$
On entry, ${f}_{i}<0.0$.
${\mathbf{ivalid}}\left[i-1\right]=3$
On entry, ${u}_{i}\le 0.0$, or, ${v}_{i}\le 0.0$.
${\mathbf{ivalid}}\left[i-1\right]=4$
The solution has failed to converge. The result returned should represent an approximation to the solution.
11: $\mathbf{fail}$NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

## 6Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
NE_ARRAY_SIZE
On entry, $\text{array size}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{ldf1}}>0$.
On entry, $\text{array size}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{ldf2}}>0$.
On entry, $\text{array size}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{lf}}>0$.
On entry, $\text{array size}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{ltail}}>0$.
On entry, argument $⟨\mathit{\text{value}}⟩$ had an illegal value.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
NW_IVALID
On entry, at least one value of f, df1, df2 or tail was invalid, or the solution failed to converge.

## 7Accuracy

The result should be accurate to five significant digits.

## 8Parallelism and Performance

g01sdc is not threaded in any implementation.

For higher accuracy g01sec can be used along with the transformations given in Section 3.

## 10Example

This example reads values from, and degrees of freedom for, a number of $F$-distributions and computes the associated lower tail probabilities.

### 10.1Program Text

Program Text (g01sdce.c)

### 10.2Program Data

Program Data (g01sdce.d)

### 10.3Program Results

Program Results (g01sdce.r)