The routine may be called by the names g01kff or nagf_stat_pdf_gamma.
The gamma distribution has PDF
If then an algorithm based directly on the gamma distribution's PDF is used. For values outside this range, the function is calculated via the Poisson distribution's PDF as described in Loader (2000) (see Section 9).
Loader C (2000) Fast and accurate computation of binomial probabilities (not yet published)
1: – Real (Kind=nag_wp)Input
On entry: , the value at which the PDF is to be evaluated.
2: – Real (Kind=nag_wp)Input
On entry: , the shape parameter of the gamma distribution.
3: – Real (Kind=nag_wp)Input
On entry: , the scale parameter of the gamma distribution.
4: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
If , then g01kff returns .
On entry, .
On entry, .
Computation abandoned owing to overflow due to extreme parameter values.
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL 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 FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
g01kff is not threaded in any implementation.
Due to the lack of a stable link to Loader (2000) paper, we give a brief overview of the method, as applied to the Poisson distribution. The Poisson distribution has a continuous mass function given by,
The usual way of computing this quantity would be to take the logarithm and calculate,
For large and , and are very large, of the same order of magnitude and when calculated have rounding errors. The subtraction of these two terms can, therefore, result in a number, many orders of magnitude smaller and hence we lose accuracy due to subtraction errors. For example for and , and . But calculated with the method shown later we have . The difference between these two results suggests a loss of about significant figures of precision.
Loader introduces an alternative way of expressing (1) based on the saddle point expansion,
where , the deviance for the Poisson distribution is given by,
For close to , can be evaluated through the series expansion
otherwise can be evaluated directly. In addition, Loader suggests evaluating using the Stirling–De Moivre series,
where the error is given by
Finally can be evaluated by combining equations (1)–(4) to get,
This example prints the value of the gamma distribution PDF at six different points x with differing a and b.