NAG CL Interface
g01ebc (prob_​students_​t)

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1 Purpose

g01ebc returns the lower tail, upper tail or two tail probability for the Student's t-distribution with real degrees of freedom.

2 Specification

#include <nag.h>
double  g01ebc (Nag_TailProbability tail, double t, double df, NagError *fail)
The function may be called by the names: g01ebc, nag_stat_prob_students_t or nag_prob_students_t.

3 Description

The lower tail probability for the Student's t-distribution with ν degrees of freedom, P(Tt:ν) is defined by:
P (Tt:ν) = Γ ((ν+1)/2) πν Γ(ν/2) - t [1+T2ν] -(ν+1) / 2 dT ,   ν1 .  
Computationally, there are two situations:
  1. (i)when ν<20, a transformation of the beta distribution, Pβ(Bβ:a,b) is used
    P (Tt:ν) = 12 Pβ (B ν ν+t2 :ν/2,12)   when ​ t<0.0  
    P (Tt:ν) = 12 + 12 Pβ (B ν ν+t2 :ν/2,12)   when ​ t>0.0 ;  
  2. (ii)when ν20, an asymptotic normalizing expansion of the Cornish–Fisher type is used to evaluate the probability, see Hill (1970).

4 References

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
Hill G W (1970) Student's t-distribution Comm. ACM 13(10) 617–619

5 Arguments

1: tail Nag_TailProbability Input
On entry: indicates which tail the returned probability should represent.
The upper tail probability is returned, i.e., P(Tt:ν).
The two tail (significance level) probability is returned, i.e., P(T|t|:ν)+P(T-|t|:ν).
The two tail (confidence interval) probability is returned, i.e., P(T|t|:ν)-P(T-|t|:ν).
The lower tail probability is returned, i.e., P(Tt:ν).
Constraint: tail=Nag_UpperTail, Nag_TwoTailSignif, Nag_TwoTailConfid or Nag_LowerTail.
2: t double Input
On entry: t, the value of the Student's t variate.
3: df double Input
On entry: ν, the degrees of freedom of the Student's t-distribution.
Constraint: df1.0.
4: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

If fail.code= NE_NOERROR, then g01ebc returns 0.0.
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument value had an illegal value.
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.
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.
On entry, df=value.
Constraint: df1.0.

7 Accuracy

The computed probability should be accurate to five significant places for reasonable probabilities but there will be some loss of accuracy for very low probabilities (less than 10−10), see Hastings and Peacock (1975).

8 Parallelism and Performance

g01ebc is not threaded in any implementation.

9 Further Comments

The probabilities could also be obtained by using the appropriate transformation to a beta distribution (see Abramowitz and Stegun (1972)) and using g01eec. This function allows you to set the required accuracy.

10 Example

This example reads values from, and degrees of freedom for Student's t-distributions along with the required tail. The probabilities are calculated and printed until the end of data is reached.

10.1 Program Text

Program Text (g01ebce.c)

10.2 Program Data

Program Data (g01ebce.d)

10.3 Program Results

Program Results (g01ebce.r)