NAG FL Interface
g01fmf (inv_​cdf_​studentized_​range)

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1 Purpose

g01fmf returns the deviate associated with the lower tail probability of the distribution of the Studentized range statistic.

2 Specification

Fortran Interface
Function g01fmf ( p, v, ir, ifail)
Real (Kind=nag_wp) :: g01fmf
Integer, Intent (In) :: ir
Integer, Intent (Inout) :: ifail
Real (Kind=nag_wp), Intent (In) :: p, v
C Header Interface
#include <nag.h>
double  g01fmf_ (const double *p, const double *v, const Integer *ir, Integer *ifail)
The routine may be called by the names g01fmf or nagf_stat_inv_cdf_studentized_range.

3 Description

The externally Studentized range, q, for a sample, x1,x2,,xr, is defined as
q = max(xi) - min(xi) σ^e ,  
where σ^e is an independent estimate of the standard error of the xi. The most common use of this statistic is in the testing of means from a balanced design. In this case for a set of group means, T¯1,T¯2,,T¯r, the Studentized range statistic is defined to be the difference between the largest and smallest means, T¯largest and T¯smallest, divided by the square root of the mean-square experimental error, MSerror, over the number of observations in each group, n, i.e.,
q=T¯largest-T¯smallest MSerror/n .  
The Studentized range statistic can be used as part of a multiple comparisons procedure such as the Newman–Keuls procedure or Duncan's multiple range test (see Montgomery (1984) and Winer (1970)).
For a Studentized range statistic the probability integral, P(q;v,r), for v degrees of freedom and r groups, can be written as:
P(q;v,r)=C0xv-1e-vx2/2 (r-ϕ(y)(Φ(y)-Φ(y-qx)) r-1dy)dx,  
C=vv/2Γ (v/2)2v/2- 1 ,   ϕ (y)=12πe-y2/2   and   Φ (y)=-yϕ (t)dt.  
For a given probability p0, the deviate q0 is found as the solution to the equation
P(q0;v,r)=p0, (1)
using c05azf . Initial estimates are found using the approximation given in Lund and Lund (1983) and a simple search procedure.

4 References

Lund R E and Lund J R (1983) Algorithm AS 190: probabilities and upper quartiles for the studentized range Appl. Statist. 32(2) 204–210
Montgomery D C (1984) Design and Analysis of Experiments Wiley
Winer B J (1970) Statistical Principles in Experimental Design McGraw–Hill

5 Arguments

1: p Real (Kind=nag_wp) Input
On entry: the lower tail probability for the Studentized range statistic, p0.
Constraint: 0.0<p<1.0.
2: v Real (Kind=nag_wp) Input
On entry: v, the number of degrees of freedom.
Constraint: v1.0.
3: ir Integer Input
On entry: r, the number of groups.
Constraint: ir2.
4: 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 g01fmf may return useful information.
If on exit ifail=1, then g01fmf returns 0.0.
On entry, ir=value.
Constraint: ir2.
On entry, p=value.
Constraint: 0.0<p<1.0.
On entry, v=value.
Constraint: v1.0.
The routine was unable to find an upper bound for the value of q0. This will be caused by p0 being too close to 1.0.
There is some doubt as to whether full accuracy has been achieved. The returned value should be a reasonable estimate of the true value.
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.
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.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

The returned solution, q*, to equation (1) is determined so that at least one of the following criteria apply.
  1. (a)|P(q*;v,r)-p0|0.000005
  2. (b)|q0-q*|0.000005×max(1.0,|q*|).

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.
g01fmf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

To obtain the factors for Duncan's multiple-range test, equation (1) has to be solved for p1, where p1=p0r-1, so on input p should be set to p0r-1.

10 Example

Three values of p, ν and r are read in and the Studentized range deviates or quantiles are computed and printed.

10.1 Program Text

Program Text (g01fmfe.f90)

10.2 Program Data

Program Data (g01fmfe.d)

10.3 Program Results

Program Results (g01fmfe.r)