NAG FL Interfaceg01fdf (inv_​cdf_​f)

1Purpose

g01fdf returns the deviate associated with the given lower tail probability of the $F$ or variance-ratio distribution with real degrees of freedom.

2Specification

Fortran Interface
 Function g01fdf ( p, df1, df2,
 Real (Kind=nag_wp) :: g01fdf Integer, Intent (Inout) :: ifail Real (Kind=nag_wp), Intent (In) :: p, df1, df2
#include <nag.h>
 double g01fdf_ (const double *p, const double *df1, const double *df2, Integer *ifail)
The routine may be called by the names g01fdf or nagf_stat_inv_cdf_f.

3Description

The deviate, ${f}_{p}$, associated with the lower tail probability, $p$, of the $F$-distribution with degrees of freedom ${\nu }_{1}$ and ${\nu }_{2}$ is defined as the solution to
 $P F ≤ fp : ν1 ,ν2 = p = ν 1 12 ν1 ν 2 12 ν2 Γ ν1 + ν2 2 Γ ν1 2 Γ ν2 2 ∫ 0 fp F 12 ν1-2 ν2 + ν1 F -12 ν1 + ν2 dF ,$
where ${\nu }_{1},{\nu }_{2}>0$; $0\le {f}_{p}<\infty$.
The value of ${f}_{p}$ is computed by means of a transformation to a beta distribution, ${P}_{\beta }\left(B\le \beta :a,b\right)$:
 $PF≤f:ν1,ν2=Pβ B≤ν1f ν1f+ν2 :ν1/2,ν2/2$
and using a call to g01fef.
For very large values of both ${\nu }_{1}$ and ${\nu }_{2}$, greater than ${10}^{5}$, a normal approximation is used. If only one of ${\nu }_{1}$ or ${\nu }_{2}$ is greater than ${10}^{5}$ then a ${\chi }^{2}$ approximation is used; see Abramowitz and Stegun (1972).

4References

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

5Arguments

1: $\mathbf{p}$Real (Kind=nag_wp) Input
On entry: $p$, the lower tail probability from the required $F$-distribution.
Constraint: $0.0\le {\mathbf{p}}<1.0$.
2: $\mathbf{df1}$Real (Kind=nag_wp) Input
On entry: the degrees of freedom of the numerator variance, ${\nu }_{1}$.
Constraint: ${\mathbf{df1}}>0.0$.
3: $\mathbf{df2}$Real (Kind=nag_wp) Input
On entry: the degrees of freedom of the denominator variance, ${\nu }_{2}$.
Constraint: ${\mathbf{df2}}>0.0$.
4: $\mathbf{ifail}$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 ${\mathbf{ifail}}\ne {\mathbf{0}}$ on exit. When the value $-\mathbf{1}$ or $\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit: ${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see Section 6).

6Error Indicators and Warnings

If on entry ${\mathbf{ifail}}=0$ 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 g01fdf may return useful information.
If on exit ${\mathbf{ifail}}={\mathbf{1}}$, ${\mathbf{2}}$ or ${\mathbf{4}}$, then g01fdf returns $0.0$.
${\mathbf{ifail}}=1$
On entry, ${\mathbf{p}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{p}}<1.0$.
On entry, ${\mathbf{p}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{p}}\ge 0.0$.
${\mathbf{ifail}}=2$
On entry, ${\mathbf{df1}}=〈\mathit{\text{value}}〉$ and ${\mathbf{df2}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{df1}}>0.0$ and ${\mathbf{df2}}>0.0$.
${\mathbf{ifail}}=3$
The solution has failed to converge. However, the result should be a reasonable approximation. Alternatively, g01fef can be used with a suitable setting of the argument tol.
${\mathbf{ifail}}=4$
The probability is too close to $0.0$ or $1.0$. The value of ${f}_{p}$ cannot be computed. This will only occur when the large sample approximations are used.
${\mathbf{ifail}}=-99$
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
${\mathbf{ifail}}=-399$
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.
${\mathbf{ifail}}=-999$
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7Accuracy

The result should be accurate to five significant digits.

8Parallelism and Performance

g01fdf is not threaded in any implementation.

For higher accuracy g01fef can be used along with the transformations given in Section 3.

10Example

This example reads the lower tail probabilities for several $F$-distributions, and calculates and prints the corresponding deviates until the end of data is reached.

10.1Program Text

Program Text (g01fdfe.f90)

10.2Program Data

Program Data (g01fdfe.d)

10.3Program Results

Program Results (g01fdfe.r)