NAG FL Interfaces14cqf (beta_​incomplete_​vector)

▸▿ Contents

Settings help

FL Name Style:

FL Specification Language:

1Purpose

s14cqf computes an array of values for the regularized incomplete beta function ${I}_{x}\left(a,b\right)$ and its complement $1-{I}_{x}\left(a,b\right)$.

2Specification

Fortran Interface
 Subroutine s14cqf ( n, a, b, x, w, w1,
 Integer, Intent (In) :: n Integer, Intent (Inout) :: ifail Integer, Intent (Out) :: ivalid(n) Real (Kind=nag_wp), Intent (In) :: a(n), b(n), x(n) Real (Kind=nag_wp), Intent (Out) :: w(n), w1(n)
#include <nag.h>
 void s14cqf_ (const Integer *n, const double a[], const double b[], const double x[], double w[], double w1[], Integer ivalid[], Integer *ifail)
The routine may be called by the names s14cqf or nagf_specfun_beta_incomplete_vector.

3Description

s14cqf evaluates the regularized incomplete beta function ${I}_{x}\left(a,b\right)$ and its complement $1–{I}_{x}\left(a,b\right)$ in the normalized form, for arrays of arguments ${x}_{i}$, ${a}_{i}$ and ${b}_{i}$, for $\mathit{i}=1,2,\dots ,n$. The incomplete beta function and its complement are given by
 $Ix(a,b) = 1 B(a,b) ∫ 0 x ta-1 (1-t) b-1 dt 1–Ix (a,b) = Iy (b,a) , where ​ y=1-x ,$
with
• $0\le x\le 1$,
• $a\ge 0$ and $b\ge 0$,
• and the beta function $B\left(a,b\right)$ is defined as $B\left(a,b\right)=\underset{0}{\overset{1}{\int }}{t}^{a-1}{\left(1-t\right)}^{b-1}dt=\frac{\Gamma \left(a\right)\Gamma \left(b\right)}{\Gamma \left(a+b\right)}$ where $\Gamma \left(y\right)$ is the gamma function.
Several methods are used to evaluate the functions depending on the arguments $a$, $b$ and $x$. The methods include Wise's asymptotic expansion (see Wise (1950)) when $a>b$, continued fraction derived by DiDonato and Morris (1992) when $a$, $b>1$, and power series when $b\le 1$ or $b×x\le 0.7$. When both $a$ and $b$ are large, specifically $a$, $b\ge 15$, the DiDonato and Morris (1992) asymptotic expansion is employed for greater efficiency.
Once either ${I}_{x}\left(a,b\right)$ or ${I}_{y}\left(b,a\right)$ is computed, the other is obtained by subtraction from $1$. In order to avoid loss of relative precision in this subtraction, the smaller of ${I}_{x}\left(a,b\right)$ and ${I}_{y}\left(b,a\right)$ is computed first.
s14cqf is derived from BRATIO in DiDonato and Morris (1992).

4References

DiDonato A R and Morris A H (1992) Algorithm 708: Significant digit computation of the incomplete beta function ratios ACM Trans. Math. Software 18 360–373
Wise M E (1950) The incomplete beta function as a contour integral and a quickly converging series for its inverse Biometrika 37 208–218

5Arguments

1: $\mathbf{n}$Integer Input
On entry: $n$, the number of points.
Constraint: ${\mathbf{n}}\ge 0$.
2: $\mathbf{a}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Input
On entry: the argument ${a}_{\mathit{i}}$ of the function, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
Constraint: ${\mathbf{a}}\left(\mathit{i}\right)\ge 0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
3: $\mathbf{b}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Input
On entry: the argument ${b}_{\mathit{i}}$ of the function, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
Constraints:
• ${\mathbf{b}}\left(\mathit{i}\right)\ge 0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$;
• ${\mathbf{b}}\left(\mathit{i}\right)\ne 0.0$ or ${\mathbf{a}}\left(\mathit{i}\right)\ne 0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
4: $\mathbf{x}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Input
On entry: ${x}_{\mathit{i}}$, the upper limit of integration, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
Constraints:
• ${\mathbf{x}}\left(\mathit{i}\right)\ge 0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$;
• ${\mathbf{x}}\left(\mathit{i}\right)\ne 0.0$ or ${\mathbf{a}}\left(\mathit{i}\right)\ne 0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$;
• $1-{\mathbf{x}}\left(\mathit{i}\right)\ne 0.0$ or ${\mathbf{b}}\left(\mathit{i}\right)\ne 0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
5: $\mathbf{w}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Output
On exit: the values of the incomplete beta function ${I}_{{x}_{i}}\left({a}_{i},{b}_{i}\right)$ evaluated from zero to ${x}_{i}$.
6: $\mathbf{w1}\left({\mathbf{n}}\right)$Real (Kind=nag_wp) array Output
On exit: the values of the complement of the incomplete beta function $1-{I}_{{x}_{i}}\left({a}_{i},{b}_{i}\right)$, i.e., the incomplete beta function evaluated from ${x}_{i}$ to one.
7: $\mathbf{ivalid}\left({\mathbf{n}}\right)$Integer array Output
On exit: ${\mathbf{ivalid}}\left(\mathit{i}\right)$ contains the error code for the $\mathit{i}$th evaluation, for $\mathit{i}=1,2,\dots ,{\mathbf{n}}$.
${\mathbf{ivalid}}\left(i\right)=0$
No error.
${\mathbf{ivalid}}\left(i\right)=1$
${a}_{i}\text{​ or ​}{b}_{i}<0$.
${\mathbf{ivalid}}\left(i\right)=2$
Both ${a}_{i}\text{​ and ​}{b}_{i}=0$.
${\mathbf{ivalid}}\left(i\right)=3$
${x}_{i}\notin \left[0,1\right]$.
${\mathbf{ivalid}}\left(i\right)=4$
Both ${x}_{i}\text{​ and ​}{a}_{i}=0$.
${\mathbf{ivalid}}\left(i\right)=5$
Both $1-{x}_{i}\text{​ and ​}{b}_{i}=0$.
8: $\mathbf{ifail}$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 $0$ is recommended. 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:
${\mathbf{ifail}}=1$
On entry, at least one argument had an invalid value.
${\mathbf{ifail}}=2$
On entry, ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{n}}\ge 0$.
${\mathbf{ifail}}=-99$
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

s14cqf is designed to maintain relative accuracy for all arguments. For very tiny results (of the order of machine precision or less) some relative accuracy may be lost – loss of three or four decimal places has been observed in experiments. For other arguments full relative accuracy may be expected.

8Parallelism and Performance

s14cqf is not threaded in any implementation.

None.

10Example

This example reads $10$ values for each vector argument $a$, $b$ and $x$ from a file. It then evaluates the function and its complement for each set of values.

10.1Program Text

Program Text (s14cqfe.f90)

10.2Program Data

Program Data (s14cqfe.d)

10.3Program Results

Program Results (s14cqfe.r)