NAG CL Interface
g01skc (prob_​poisson_​vector)

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1 Purpose

g01skc returns a number of the lower tail, upper tail and point probabilities for the Poisson distribution.

2 Specification

#include <nag.h>
void  g01skc (Integer ll, const double l[], Integer lk, const Integer k[], double plek[], double pgtk[], double peqk[], Integer ivalid[], NagError *fail)
The function may be called by the names: g01skc, nag_stat_prob_poisson_vector or nag_prob_poisson_vector.

3 Description

Let X = {Xi: i=1 , 2 ,, m } denote a vector of random variables each having a Poisson distribution with parameter λi (>0). Then
Prob{Xi=ki} = e -λi λi ki ki! ,   ki = 0,1,2,  
The mean and variance of each distribution are both equal to λi.
g01skc computes, for given λi and ki the probabilities: Prob{Xiki}, Prob{Xi>ki} and Prob{Xi=ki} using the algorithm described in Knüsel (1986).
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.

4 References

Knüsel L (1986) Computation of the chi-square and Poisson distribution SIAM J. Sci. Statist. Comput. 7 1022–1036

5 Arguments

1: ll Integer Input
On entry: the length of the array l.
Constraint: ll>0.
2: l[ll] const double Input
On entry: λi, the parameter of the Poisson distribution with λi=l[j], j=(i-1) mod ll, for i=1,2,,max(ll,lk).
Constraint: 0.0<l[j-1]106, for j=1,2,,ll.
3: lk Integer Input
On entry: the length of the array k.
Constraint: lk>0.
4: k[lk] const Integer Input
On entry: ki, the integer which defines the required probabilities with ki=k[j], j=(i-1) mod lk.
Constraint: k[j-1]0, for j=1,2,,lk.
5: plek[dim] double Output
Note: the dimension, dim, of the array plek must be at least max(ll,lk).
On exit: Prob{Xiki} , the lower tail probabilities.
6: pgtk[dim] double Output
Note: the dimension, dim, of the array pgtk must be at least max(ll,lk).
On exit: Prob{Xi>ki} , the upper tail probabilities.
7: peqk[dim] double Output
Note: the dimension, dim, of the array peqk must be at least max(ll,lk).
On exit: Prob{Xi=ki} , the point probabilities.
8: ivalid[dim] Integer Output
Note: the dimension, dim, of the array ivalid must be at least max(ll,lk).
On exit: ivalid[i-1] indicates any errors with the input arguments, with
ivalid[i-1]=0
No error.
ivalid[i-1]=1
On entry, λi0.0.
ivalid[i-1]=2
On entry, ki<0.
ivalid[i-1]=3
On entry, λi>106.
9: 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

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, array size=value.
Constraint: lk>0.
On entry, array size=value.
Constraint: ll>0.
NE_BAD_PARAM
On entry, argument 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 l or k was invalid.
Check ivalid for more information.

7 Accuracy

Results are correct to a relative accuracy of at least 10−6 on machines with a precision of 9 or more decimal digits (provided that the results do not underflow to zero).

8 Parallelism and Performance

g01skc is not threaded in any implementation.

9 Further Comments

The time taken by g01skc to calculate each probability depends on λi and ki. For given λi, the time is greatest when kiλi, and is then approximately proportional to λi.

10 Example

This example reads a vector of values for λ and k, and prints the corresponding probabilities.

10.1 Program Text

Program Text (g01skce.c)

10.2 Program Data

Program Data (g01skce.d)

10.3 Program Results

Program Results (g01skce.r)