On entry: , the degrees of freedom of the bivariate Student's -distribution.
5: – doubleInput
On entry: , the correlation of the bivariate Student's -distribution.
6: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error Indicators and Warnings
If on exit, NE_NOERROR, then g01hcc returns zero.
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument had an illegal value.
On entry, .
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.
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.
On entry, .
On entry, for central probability, for some .
Accuracy of the algorithm implemented here is discussed in comparison with algorithms based on a generalized Placket formula by Genz (2004), who recommends the Dunnet and Sobel method. This implementation should give a maximum absolute error of the order of .
8Parallelism and Performance
g01hcc is not threaded in any implementation.
This example calculates the bivariate Student's probability given the choice of tail and degrees of freedom, correlation and bounds.