NAG Library Routine Document
G01FMF returns the deviate associated with the lower tail probability of the distribution of the Studentized range statistic, via the routine name.
|REAL (KIND=nag_wp) G01FMF
The externally Studentized range,
, for a sample,
, is defined as
is an independent estimate of the standard error of the
. 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,
, the Studentized range statistic is defined to be the difference between the largest and smallest means,
, divided by the square root of the mean-square experimental error,
, over the number of observations in each group,
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,
degrees of freedom and
groups, can be written as:
For a given probability
, the deviate
is found as the solution to the equation
Initial estimates are found using the approximation given in Lund and Lund (1983)
and a simple search procedure.
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
- 1: P – REAL (KIND=nag_wp)Input
On entry: the lower tail probability for the Studentized range statistic, .
- 2: V – REAL (KIND=nag_wp)Input
On entry: , the number of degrees of freedom.
- 3: IR – INTEGERInput
On entry: , the number of groups.
- 4: IFAIL – INTEGERInput/Output
must be set to
. If you are unfamiliar with this parameter you should refer to Section 3.3
in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
is recommended. If the output of error messages is undesirable, then the value
is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if
on exit, the recommended value is
. When the value is used it is essential to test the value of IFAIL on exit.
unless the routine detects an error or a warning has been flagged (see Section 6
6 Error Indicators and Warnings
If on entry
, explanatory error messages are output on the current error message unit (as defined by X04AAF
Note: G01FMF may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the routine:
If on exit , then G01FMF returns .
The routine was unable to find an upper bound for the value of . This will be caused by being too close to .
There is some doubt as to whether full accuracy has been achieved. The returned value should be a reasonable estimate of the true value.
The returned solution,
, to equation (1)
is determined so that at least one of the following criteria apply.
To obtain the factors for Duncan's multiple-range test, equation (1)
has to be solved for
, so on input P
should be set to
Three values of , and are read in and the Studentized range deviates or quantiles are computed and printed.
9.1 Program Text
Program Text (g01fmfe.f90)
9.2 Program Data
Program Data (g01fmfe.d)
9.3 Program Results
Program Results (g01fmfe.r)