NAG FL Interface
g01scf (prob_​chisq_​vector)

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1 Purpose

g01scf returns a number of lower or upper tail probabilities for the χ2-distribution with real degrees of freedom.

2 Specification

Fortran Interface
Subroutine g01scf ( ltail, tail, lx, x, ldf, df, p, ivalid, ifail)
Integer, Intent (In) :: ltail, lx, ldf
Integer, Intent (Inout) :: ifail
Integer, Intent (Out) :: ivalid(*)
Real (Kind=nag_wp), Intent (In) :: x(lx), df(ldf)
Real (Kind=nag_wp), Intent (Out) :: p(*)
Character (1), Intent (In) :: tail(ltail)
C Header Interface
#include <nag.h>
void  g01scf_ (const Integer *ltail, const char tail[], const Integer *lx, const double x[], const Integer *ldf, const double df[], double p[], Integer ivalid[], Integer *ifail, const Charlen length_tail)
The routine may be called by the names g01scf or nagf_stat_prob_chisq_vector.

3 Description

The lower tail probability for the χ2-distribution with νi degrees of freedom, P = ( Xi xi :νi) is defined by:
P = (Xixi:νi) = 1 2 νi/2 Γ (νi/2) 0.0 xi Xi νi/2-1 e -Xi/2 dXi ,   xi 0 , νi > 0 .  
To calculate P = ( Xi xi :νi) a transformation of a gamma distribution is employed, i.e., a χ2-distribution with νi degrees of freedom is equal to a gamma distribution with scale parameter 2 and shape parameter νi/2.
The input arrays to this routine 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.

4 References

NIST Digital Library of Mathematical Functions
Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth

5 Arguments

1: ltail Integer Input
On entry: the length of the array tail.
Constraint: ltail>0.
2: tail(ltail) Character(1) array Input
On entry: indicates whether the lower or upper tail probabilities are required. For j= ((i-1) mod ltail) +1 , for i=1,2,,max(ltail,lx,ldf):
tail(j)='L'
The lower tail probability is returned, i.e., pi = P( Xi xi :νi) .
tail(j)='U'
The upper tail probability is returned, i.e., pi = P( Xi xi :νi) .
Constraint: tail(j)='L' or 'U', for j=1,2,,ltail.
3: lx Integer Input
On entry: the length of the array x.
Constraint: lx>0.
4: x(lx) Real (Kind=nag_wp) array Input
On entry: xi, the values of the χ2 variates with νi degrees of freedom with xi=x(j), j=((i-1) mod lx)+1.
Constraint: x(j)0.0, for j=1,2,,lx.
5: ldf Integer Input
On entry: the length of the array df.
Constraint: ldf>0.
6: df(ldf) Real (Kind=nag_wp) array Input
On entry: νi, the degrees of freedom of the χ2-distribution with νi=df(j), j=((i-1) mod ldf)+1.
Constraint: df(j)>0.0, for j=1,2,,ldf.
7: p(*) Real (Kind=nag_wp) array Output
Note: the dimension of the array p must be at least max(ltail,ldf,lx).
On exit: pi, the probabilities for the χ2 distribution.
8: ivalid(*) Integer array Output
Note: the dimension of the array ivalid must be at least max(ltail,ldf,lx).
On exit: ivalid(i) indicates any errors with the input arguments, with
ivalid(i)=0
No error.
ivalid(i)=1
On entry, invalid value supplied in tail when calculating pi.
ivalid(i)=2
On entry, xi<0.0.
ivalid(i)=3
On entry, νi0.0.
ivalid(i)=4
The solution has failed to converge while calculating the gamma variate. The result returned should represent an approximation to the solution.
9: ifail Integer Input/Output
On entry: ifail must be set to 0, −1 or 1 to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of 0 causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of −1 means that an error message is printed while a value of 1 means that it is not.
If halting is not appropriate, the value −1 or 1 is recommended. If message printing is undesirable, then the value 1 is recommended. Otherwise, the value −1 is recommended since useful values can be provided in some output arguments even when ifail0 on exit. 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 or −1, explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
Note: in some cases g01scf may return useful information.
ifail=1
On entry, at least one value of x, df or tail was invalid, or the solution failed to converge.
Check ivalid for more information.
ifail=2
On entry, array size=value.
Constraint: ltail>0.
ifail=3
On entry, array size=value.
Constraint: lx>0.
ifail=4
On entry, array size=value.
Constraint: ldf>0.
ifail=-99
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
ifail=-399
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
ifail=-999
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

A relative accuracy of five significant figures is obtained in most cases.

8 Parallelism and Performance

g01scf is not threaded in any implementation.

9 Further Comments

For higher accuracy the transformation described in Section 3 may be used with a direct call to s14baf.

10 Example

Values from various χ2-distributions are read, the lower tail probabilities calculated, and all these values printed out.

10.1 Program Text

Program Text (g01scfe.f90)

10.2 Program Data

Program Data (g01scfe.d)

10.3 Program Results

Program Results (g01scfe.r)