nag_gamma_dist (g01efc) (PDF version)
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NAG C Library Manual

NAG Library Function Document

nag_gamma_dist (g01efc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_gamma_dist (g01efc) returns the lower or upper tail probability of the gamma distribution, with parameters α and β.

2  Specification

#include <nag.h>
#include <nagg01.h>
double  nag_gamma_dist (Nag_TailProbability tail, double g, double a, double b, NagError *fail)

3  Description

The lower tail probability for the gamma distribution with parameters α and β, PGg, is defined by:
P Gg ; α,β = 1 βα Γα 0g Gα-1 e-G/β dG ,   α>0.0 , ​ β>0.0 .
The mean of the distribution is αβ and its variance is αβ2. The transformation Z=Gβ is applied to yield the following incomplete gamma function in normalized form,
P Gg ; α ,β = P Zg/β : α,1.0 = 1 Γα 0g/β Zα-1 e-Z dZ .
This is then evaluated using nag_incomplete_gamma (s14bac).

4  References

Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth

5  Arguments

1:     tailNag_TailProbabilityInput
On entry: indicates whether an upper or lower tail probability is required.
The lower tail probability is returned, that is PGg:α,β.
The upper tail probability is returned, that is PGg:α,β.
Constraint: tail=Nag_LowerTail or Nag_UpperTail.
2:     gdoubleInput
On entry: g, the value of the gamma variate.
Constraint: g0.0.
3:     adoubleInput
On entry: the parameter α of the gamma distribution.
Constraint: a>0.0.
4:     bdoubleInput
On entry: the parameter β of the gamma distribution.
Constraint: b>0.0.
5:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

On any of the error conditions listed below except NE_ALG_NOT_CONV nag_gamma_dist (g01efc) returns 0.0 .
The algorithm has failed to converge in value iterations. The probability returned should be a reasonable approximation to the solution.
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.
On entry, a=value and b=value.
Constraint: a>0.0 and b>0.0.
On entry, g=value.
Constraint: g0.0.

7  Accuracy

The result should have a relative accuracy of machine precision. There are rare occasions when the relative accuracy attained is somewhat less than machine precision but the error should not exceed more than 1 or 2 decimal places. Note also that there is a limit of 18 decimal places on the achievable accuracy, because constants in nag_incomplete_gamma (s14bac) are given to this precision.

8  Further Comments

The time taken by nag_gamma_dist (g01efc) varies slightly with the input arguments g, a and b.

9  Example

This example reads in values from a number of gamma distributions and computes the associated lower tail probabilities.

9.1  Program Text

Program Text (g01efce.c)

9.2  Program Data

Program Data (g01efce.d)

9.3  Program Results

Program Results (g01efce.r)

nag_gamma_dist (g01efc) (PDF version)
g01 Chapter Contents
g01 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012