nag_prob_students_t_vector (g01sbc) (PDF version)
g01 Chapter Contents
g01 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_prob_students_t_vector (g01sbc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_prob_students_t_vector (g01sbc) returns a number of one or two tail probabilities for the Student's t-distribution with real degrees of freedom.

2  Specification

#include <nag.h>
#include <nagg01.h>
void  nag_prob_students_t_vector (Integer ltail, const Nag_TailProbability tail[], Integer lt, const double t[], Integer ldf, const double df[], double p[], Integer ivalid[], NagError *fail)

3  Description

The lower tail probability for the Student's t-distribution with νi degrees of freedom, P Ti ti :νi  is defined by:
P Ti ti :νi = Γ νi+1 / 2 πνi Γνi/2 - ti 1+ Ti2νi -νi+1 / 2 dTi ,   νi1 .
Computationally, there are two situations:
(i) when νi<20, a transformation of the beta distribution, Pβi Bi βi :ai,bi  is used
P Ti ti :νi = 12 Pβi Bi νi νi+ti2 :νi/2,12   when ​ ti<0.0
or
P Ti ti :νi = 12 + 12 Pβi Bi νi νi + ti2 :νi/2,12   when ​ ti>0.0 ;
(ii) when νi20, an asymptotic normalizing expansion of the Cornish–Fisher type is used to evaluate the probability, see Hill (1970).
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

Abramowitz M and Stegun I A (1972) Handbook of Mathematical Functions (3rd Edition) Dover Publications
Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth
Hill G W (1970) Student's t-distribution Comm. ACM 13(10) 617–619

5  Arguments

1:     ltailIntegerInput
On entry: the length of the array tail.
Constraint: ltail>0.
2:     tail[ltail]const Nag_TailProbabilityInput
On entry: indicates which tail the returned probabilities should represent. For j= i-1 mod ltail , for i=1,2,,maxltail,lt,ldf:
tail[j]=Nag_LowerTail
The lower tail probability is returned, i.e., pi = P Ti ti :νi .
tail[j]=Nag_UpperTail
The upper tail probability is returned, i.e., pi = P Ti ti :νi .
tail[j]=Nag_TwoTailConfid
The two tail (confidence interval) probability is returned, i.e., pi = P Ti ti :νi - P Ti - ti :νi .
tail[j]=Nag_TwoTailSignif
The two tail (significance level) probability is returned, i.e., pi = P Ti ti :νi + P Ti - ti :νi .
Constraint: tail[j-1]=Nag_LowerTail, Nag_UpperTail, Nag_TwoTailConfid or Nag_TwoTailSignif, for j=1,2,,ltail.
3:     ltIntegerInput
On entry: the length of the array t.
Constraint: lt>0.
4:     t[lt]const doubleInput
On entry: ti, the values of the Student's t variates with ti=t[j], j=i-1 mod lt.
5:     ldfIntegerInput
On entry: the length of the array df.
Constraint: ldf>0.
6:     df[ldf]const doubleInput
On entry: νi, the degrees of freedom of the Student's t-distribution with νi=df[j], j=i-1 mod ldf.
Constraint: df[j-1]1.0, for j=1,2,,ldf.
7:     p[dim]doubleOutput
Note: the dimension, dim, of the array p must be at least maxltail,lt,ldf.
On exit: pi, the probabilities for the Student's t distribution.
8:     ivalid[dim]IntegerOutput
Note: the dimension, dim, of the array ivalid must be at least maxltail,lt,ldf.
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,invalid value supplied in tail when calculating pi.
ivalid[i-1]=2
On entry,νi<1.0.
9:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_ARRAY_SIZE
On entry, array size=value.
Constraint: ldf>0.
On entry, array size=value.
Constraint: lt>0.
On entry, array size=value.
Constraint: ltail>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.
NW_IVALID
On entry, at least one value of tail or df was invalid.
Check ivalid for more information.

7  Accuracy

The computed probability should be accurate to five significant places for reasonable probabilities but there will be some loss of accuracy for very low probabilities (less than 10-10), see Hastings and Peacock (1975).

8  Further Comments

The probabilities could also be obtained by using the appropriate transformation to a beta distribution (see Abramowitz and Stegun (1972)) and using nag_prob_beta_vector (g01sec). This function allows you to set the required accuracy.

9  Example

This example reads values from, and degrees of freedom for Student's t-distributions along with the required tail. The probabilities are calculated and printed.

9.1  Program Text

Program Text (g01sbce.c)

9.2  Program Data

Program Data (g01sbce.d)

9.3  Program Results

Program Results (g01sbce.r)


nag_prob_students_t_vector (g01sbc) (PDF version)
g01 Chapter Contents
g01 Chapter Introduction
NAG C Library Manual

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