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specialfunctions.h
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specialfunctions.h
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/*************************************************************************
Copyright (c) Sergey Bochkanov (ALGLIB project).
>>> SOURCE LICENSE >>>
This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation (www.fsf.org); either version 2 of the
License, or (at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
A copy of the GNU General Public License is available at
http://www.fsf.org/licensing/licenses
>>> END OF LICENSE >>>
*************************************************************************/
#ifndef _specialfunctions_pkg_h
#define _specialfunctions_pkg_h
#include "ap.h"
#include "alglibinternal.h"
/////////////////////////////////////////////////////////////////////////
//
// THIS SECTION CONTAINS COMPUTATIONAL CORE DECLARATIONS (DATATYPES)
//
/////////////////////////////////////////////////////////////////////////
namespace alglib_impl
{
}
/////////////////////////////////////////////////////////////////////////
//
// THIS SECTION CONTAINS C++ INTERFACE
//
/////////////////////////////////////////////////////////////////////////
namespace alglib
{
/*************************************************************************
Gamma function
Input parameters:
X - argument
Domain:
0 < X < 171.6
-170 < X < 0, X is not an integer.
Relative error:
arithmetic domain # trials peak rms
IEEE -170,-33 20000 2.3e-15 3.3e-16
IEEE -33, 33 20000 9.4e-16 2.2e-16
IEEE 33, 171.6 20000 2.3e-15 3.2e-16
Cephes Math Library Release 2.8: June, 2000
Original copyright 1984, 1987, 1989, 1992, 2000 by Stephen L. Moshier
Translated to AlgoPascal by Bochkanov Sergey (2005, 2006, 2007).
*************************************************************************/
double gammafunction(const double x);
/*************************************************************************
Natural logarithm of gamma function
Input parameters:
X - argument
Result:
logarithm of the absolute value of the Gamma(X).
Output parameters:
SgnGam - sign(Gamma(X))
Domain:
0 < X < 2.55e305
-2.55e305 < X < 0, X is not an integer.
ACCURACY:
arithmetic domain # trials peak rms
IEEE 0, 3 28000 5.4e-16 1.1e-16
IEEE 2.718, 2.556e305 40000 3.5e-16 8.3e-17
The error criterion was relative when the function magnitude
was greater than one but absolute when it was less than one.
The following test used the relative error criterion, though
at certain points the relative error could be much higher than
indicated.
IEEE -200, -4 10000 4.8e-16 1.3e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1989, 1992, 2000 by Stephen L. Moshier
Translated to AlgoPascal by Bochkanov Sergey (2005, 2006, 2007).
*************************************************************************/
double lngamma(const double x, double &sgngam);
/*************************************************************************
Error function
The integral is
x
-
2 | | 2
erf(x) = -------- | exp( - t ) dt.
sqrt(pi) | |
-
0
For 0 <= |x| < 1, erf(x) = x * P4(x**2)/Q5(x**2); otherwise
erf(x) = 1 - erfc(x).
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0,1 30000 3.7e-16 1.0e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
*************************************************************************/
double errorfunction(const double x);
/*************************************************************************
Complementary error function
1 - erf(x) =
inf.
-
2 | | 2
erfc(x) = -------- | exp( - t ) dt
sqrt(pi) | |
-
x
For small x, erfc(x) = 1 - erf(x); otherwise rational
approximations are computed.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0,26.6417 30000 5.7e-14 1.5e-14
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
*************************************************************************/
double errorfunctionc(const double x);
/*************************************************************************
Normal distribution function
Returns the area under the Gaussian probability density
function, integrated from minus infinity to x:
x
-
1 | | 2
ndtr(x) = --------- | exp( - t /2 ) dt
sqrt(2pi) | |
-
-inf.
= ( 1 + erf(z) ) / 2
= erfc(z) / 2
where z = x/sqrt(2). Computation is via the functions
erf and erfc.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE -13,0 30000 3.4e-14 6.7e-15
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
*************************************************************************/
double normaldistribution(const double x);
/*************************************************************************
Inverse of the error function
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
*************************************************************************/
double inverf(const double e);
/*************************************************************************
Inverse of Normal distribution function
Returns the argument, x, for which the area under the
Gaussian probability density function (integrated from
minus infinity to x) is equal to y.
For small arguments 0 < y < exp(-2), the program computes
z = sqrt( -2.0 * log(y) ); then the approximation is
x = z - log(z)/z - (1/z) P(1/z) / Q(1/z).
There are two rational functions P/Q, one for 0 < y < exp(-32)
and the other for y up to exp(-2). For larger arguments,
w = y - 0.5, and x/sqrt(2pi) = w + w**3 R(w**2)/S(w**2)).
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0.125, 1 20000 7.2e-16 1.3e-16
IEEE 3e-308, 0.135 50000 4.6e-16 9.8e-17
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
*************************************************************************/
double invnormaldistribution(const double y0);
/*************************************************************************
Incomplete gamma integral
The function is defined by
x
-
1 | | -t a-1
igam(a,x) = ----- | e t dt.
- | |
| (a) -
0
In this implementation both arguments must be positive.
The integral is evaluated by either a power series or
continued fraction expansion, depending on the relative
values of a and x.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0,30 200000 3.6e-14 2.9e-15
IEEE 0,100 300000 9.9e-14 1.5e-14
Cephes Math Library Release 2.8: June, 2000
Copyright 1985, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double incompletegamma(const double a, const double x);
/*************************************************************************
Complemented incomplete gamma integral
The function is defined by
igamc(a,x) = 1 - igam(a,x)
inf.
-
1 | | -t a-1
= ----- | e t dt.
- | |
| (a) -
x
In this implementation both arguments must be positive.
The integral is evaluated by either a power series or
continued fraction expansion, depending on the relative
values of a and x.
ACCURACY:
Tested at random a, x.
a x Relative error:
arithmetic domain domain # trials peak rms
IEEE 0.5,100 0,100 200000 1.9e-14 1.7e-15
IEEE 0.01,0.5 0,100 200000 1.4e-13 1.6e-15
Cephes Math Library Release 2.8: June, 2000
Copyright 1985, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double incompletegammac(const double a, const double x);
/*************************************************************************
Inverse of complemented imcomplete gamma integral
Given p, the function finds x such that
igamc( a, x ) = p.
Starting with the approximate value
3
x = a t
where
t = 1 - d - ndtri(p) sqrt(d)
and
d = 1/9a,
the routine performs up to 10 Newton iterations to find the
root of igamc(a,x) - p = 0.
ACCURACY:
Tested at random a, p in the intervals indicated.
a p Relative error:
arithmetic domain domain # trials peak rms
IEEE 0.5,100 0,0.5 100000 1.0e-14 1.7e-15
IEEE 0.01,0.5 0,0.5 100000 9.0e-14 3.4e-15
IEEE 0.5,10000 0,0.5 20000 2.3e-13 3.8e-14
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
*************************************************************************/
double invincompletegammac(const double a, const double y0);
/*************************************************************************
Airy function
Solution of the differential equation
y"(x) = xy.
The function returns the two independent solutions Ai, Bi
and their first derivatives Ai'(x), Bi'(x).
Evaluation is by power series summation for small x,
by rational minimax approximations for large x.
ACCURACY:
Error criterion is absolute when function <= 1, relative
when function > 1, except * denotes relative error criterion.
For large negative x, the absolute error increases as x^1.5.
For large positive x, the relative error increases as x^1.5.
Arithmetic domain function # trials peak rms
IEEE -10, 0 Ai 10000 1.6e-15 2.7e-16
IEEE 0, 10 Ai 10000 2.3e-14* 1.8e-15*
IEEE -10, 0 Ai' 10000 4.6e-15 7.6e-16
IEEE 0, 10 Ai' 10000 1.8e-14* 1.5e-15*
IEEE -10, 10 Bi 30000 4.2e-15 5.3e-16
IEEE -10, 10 Bi' 30000 4.9e-15 7.3e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1989, 2000 by Stephen L. Moshier
*************************************************************************/
void airy(const double x, double &ai, double &aip, double &bi, double &bip);
/*************************************************************************
Bessel function of order zero
Returns Bessel function of order zero of the argument.
The domain is divided into the intervals [0, 5] and
(5, infinity). In the first interval the following rational
approximation is used:
2 2
(w - r ) (w - r ) P (w) / Q (w)
1 2 3 8
2
where w = x and the two r's are zeros of the function.
In the second interval, the Hankel asymptotic expansion
is employed with two rational functions of degree 6/6
and 7/7.
ACCURACY:
Absolute error:
arithmetic domain # trials peak rms
IEEE 0, 30 60000 4.2e-16 1.1e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1989, 2000 by Stephen L. Moshier
*************************************************************************/
double besselj0(const double x);
/*************************************************************************
Bessel function of order one
Returns Bessel function of order one of the argument.
The domain is divided into the intervals [0, 8] and
(8, infinity). In the first interval a 24 term Chebyshev
expansion is used. In the second, the asymptotic
trigonometric representation is employed using two
rational functions of degree 5/5.
ACCURACY:
Absolute error:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 2.6e-16 1.1e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1989, 2000 by Stephen L. Moshier
*************************************************************************/
double besselj1(const double x);
/*************************************************************************
Bessel function of integer order
Returns Bessel function of order n, where n is a
(possibly negative) integer.
The ratio of jn(x) to j0(x) is computed by backward
recurrence. First the ratio jn/jn-1 is found by a
continued fraction expansion. Then the recurrence
relating successive orders is applied until j0 or j1 is
reached.
If n = 0 or 1 the routine for j0 or j1 is called
directly.
ACCURACY:
Absolute error:
arithmetic range # trials peak rms
IEEE 0, 30 5000 4.4e-16 7.9e-17
Not suitable for large n or x. Use jv() (fractional order) instead.
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double besseljn(const ae_int_t n, const double x);
/*************************************************************************
Bessel function of the second kind, order zero
Returns Bessel function of the second kind, of order
zero, of the argument.
The domain is divided into the intervals [0, 5] and
(5, infinity). In the first interval a rational approximation
R(x) is employed to compute
y0(x) = R(x) + 2 * log(x) * j0(x) / PI.
Thus a call to j0() is required.
In the second interval, the Hankel asymptotic expansion
is employed with two rational functions of degree 6/6
and 7/7.
ACCURACY:
Absolute error, when y0(x) < 1; else relative error:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 1.3e-15 1.6e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1989, 2000 by Stephen L. Moshier
*************************************************************************/
double bessely0(const double x);
/*************************************************************************
Bessel function of second kind of order one
Returns Bessel function of the second kind of order one
of the argument.
The domain is divided into the intervals [0, 8] and
(8, infinity). In the first interval a 25 term Chebyshev
expansion is used, and a call to j1() is required.
In the second, the asymptotic trigonometric representation
is employed using two rational functions of degree 5/5.
ACCURACY:
Absolute error:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 1.0e-15 1.3e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1989, 2000 by Stephen L. Moshier
*************************************************************************/
double bessely1(const double x);
/*************************************************************************
Bessel function of second kind of integer order
Returns Bessel function of order n, where n is a
(possibly negative) integer.
The function is evaluated by forward recurrence on
n, starting with values computed by the routines
y0() and y1().
If n = 0 or 1 the routine for y0 or y1 is called
directly.
ACCURACY:
Absolute error, except relative
when y > 1:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 3.4e-15 4.3e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double besselyn(const ae_int_t n, const double x);
/*************************************************************************
Modified Bessel function of order zero
Returns modified Bessel function of order zero of the
argument.
The function is defined as i0(x) = j0( ix ).
The range is partitioned into the two intervals [0,8] and
(8, infinity). Chebyshev polynomial expansions are employed
in each interval.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0,30 30000 5.8e-16 1.4e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double besseli0(const double x);
/*************************************************************************
Modified Bessel function of order one
Returns modified Bessel function of order one of the
argument.
The function is defined as i1(x) = -i j1( ix ).
The range is partitioned into the two intervals [0,8] and
(8, infinity). Chebyshev polynomial expansions are employed
in each interval.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 1.9e-15 2.1e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1985, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double besseli1(const double x);
/*************************************************************************
Modified Bessel function, second kind, order zero
Returns modified Bessel function of the second kind
of order zero of the argument.
The range is partitioned into the two intervals [0,8] and
(8, infinity). Chebyshev polynomial expansions are employed
in each interval.
ACCURACY:
Tested at 2000 random points between 0 and 8. Peak absolute
error (relative when K0 > 1) was 1.46e-14; rms, 4.26e-15.
Relative error:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 1.2e-15 1.6e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double besselk0(const double x);
/*************************************************************************
Modified Bessel function, second kind, order one
Computes the modified Bessel function of the second kind
of order one of the argument.
The range is partitioned into the two intervals [0,2] and
(2, infinity). Chebyshev polynomial expansions are employed
in each interval.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0, 30 30000 1.2e-15 1.6e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double besselk1(const double x);
/*************************************************************************
Modified Bessel function, second kind, integer order
Returns modified Bessel function of the second kind
of order n of the argument.
The range is partitioned into the two intervals [0,9.55] and
(9.55, infinity). An ascending power series is used in the
low range, and an asymptotic expansion in the high range.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0,30 90000 1.8e-8 3.0e-10
Error is high only near the crossover point x = 9.55
between the two expansions used.
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1988, 2000 by Stephen L. Moshier
*************************************************************************/
double besselkn(const ae_int_t nn, const double x);
/*************************************************************************
Beta function
- -
| (a) | (b)
beta( a, b ) = -----------.
-
| (a+b)
For large arguments the logarithm of the function is
evaluated using lgam(), then exponentiated.
ACCURACY:
Relative error:
arithmetic domain # trials peak rms
IEEE 0,30 30000 8.1e-14 1.1e-14
Cephes Math Library Release 2.0: April, 1987
Copyright 1984, 1987 by Stephen L. Moshier
*************************************************************************/
double beta(const double a, const double b);
/*************************************************************************
Incomplete beta integral
Returns incomplete beta integral of the arguments, evaluated
from zero to x. The function is defined as
x
- -
| (a+b) | | a-1 b-1
----------- | t (1-t) dt.
- - | |
| (a) | (b) -
0
The domain of definition is 0 <= x <= 1. In this
implementation a and b are restricted to positive values.
The integral from x to 1 may be obtained by the symmetry
relation
1 - incbet( a, b, x ) = incbet( b, a, 1-x ).
The integral is evaluated by a continued fraction expansion
or, when b*x is small, by a power series.
ACCURACY:
Tested at uniformly distributed random points (a,b,x) with a and b
in "domain" and x between 0 and 1.
Relative error
arithmetic domain # trials peak rms
IEEE 0,5 10000 6.9e-15 4.5e-16
IEEE 0,85 250000 2.2e-13 1.7e-14
IEEE 0,1000 30000 5.3e-12 6.3e-13
IEEE 0,10000 250000 9.3e-11 7.1e-12
IEEE 0,100000 10000 8.7e-10 4.8e-11
Outputs smaller than the IEEE gradual underflow threshold
were excluded from these statistics.
Cephes Math Library, Release 2.8: June, 2000
Copyright 1984, 1995, 2000 by Stephen L. Moshier
*************************************************************************/
double incompletebeta(const double a, const double b, const double x);
/*************************************************************************
Inverse of imcomplete beta integral
Given y, the function finds x such that
incbet( a, b, x ) = y .
The routine performs interval halving or Newton iterations to find the
root of incbet(a,b,x) - y = 0.
ACCURACY:
Relative error:
x a,b
arithmetic domain domain # trials peak rms
IEEE 0,1 .5,10000 50000 5.8e-12 1.3e-13
IEEE 0,1 .25,100 100000 1.8e-13 3.9e-15
IEEE 0,1 0,5 50000 1.1e-12 5.5e-15
With a and b constrained to half-integer or integer values:
IEEE 0,1 .5,10000 50000 5.8e-12 1.1e-13
IEEE 0,1 .5,100 100000 1.7e-14 7.9e-16
With a = .5, b constrained to half-integer or integer values:
IEEE 0,1 .5,10000 10000 8.3e-11 1.0e-11
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1996, 2000 by Stephen L. Moshier
*************************************************************************/
double invincompletebeta(const double a, const double b, const double y);
/*************************************************************************
Binomial distribution
Returns the sum of the terms 0 through k of the Binomial
probability density:
k
-- ( n ) j n-j
> ( ) p (1-p)
-- ( j )
j=0
The terms are not summed directly; instead the incomplete
beta integral is employed, according to the formula
y = bdtr( k, n, p ) = incbet( n-k, k+1, 1-p ).
The arguments must be positive, with p ranging from 0 to 1.
ACCURACY:
Tested at random points (a,b,p), with p between 0 and 1.
a,b Relative error:
arithmetic domain # trials peak rms
For p between 0.001 and 1:
IEEE 0,100 100000 4.3e-15 2.6e-16
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
*************************************************************************/
double binomialdistribution(const ae_int_t k, const ae_int_t n, const double p);
/*************************************************************************
Complemented binomial distribution
Returns the sum of the terms k+1 through n of the Binomial
probability density:
n
-- ( n ) j n-j
> ( ) p (1-p)
-- ( j )
j=k+1
The terms are not summed directly; instead the incomplete
beta integral is employed, according to the formula
y = bdtrc( k, n, p ) = incbet( k+1, n-k, p ).
The arguments must be positive, with p ranging from 0 to 1.
ACCURACY:
Tested at random points (a,b,p).
a,b Relative error:
arithmetic domain # trials peak rms
For p between 0.001 and 1:
IEEE 0,100 100000 6.7e-15 8.2e-16
For p between 0 and .001:
IEEE 0,100 100000 1.5e-13 2.7e-15
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
*************************************************************************/
double binomialcdistribution(const ae_int_t k, const ae_int_t n, const double p);
/*************************************************************************
Inverse binomial distribution
Finds the event probability p such that the sum of the
terms 0 through k of the Binomial probability density
is equal to the given cumulative probability y.
This is accomplished using the inverse beta integral
function and the relation
1 - p = incbi( n-k, k+1, y ).
ACCURACY:
Tested at random points (a,b,p).
a,b Relative error:
arithmetic domain # trials peak rms
For p between 0.001 and 1:
IEEE 0,100 100000 2.3e-14 6.4e-16
IEEE 0,10000 100000 6.6e-12 1.2e-13
For p between 10^-6 and 0.001:
IEEE 0,100 100000 2.0e-12 1.3e-14
IEEE 0,10000 100000 1.5e-12 3.2e-14
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
*************************************************************************/
double invbinomialdistribution(const ae_int_t k, const ae_int_t n, const double y);
/*************************************************************************
Calculation of the value of the Chebyshev polynomials of the
first and second kinds.
Parameters:
r - polynomial kind, either 1 or 2.
n - degree, n>=0
x - argument, -1 <= x <= 1
Result:
the value of the Chebyshev polynomial at x
*************************************************************************/
double chebyshevcalculate(const ae_int_t r, const ae_int_t n, const double x);
/*************************************************************************
Summation of Chebyshev polynomials using Clenshaws recurrence formula.
This routine calculates
c[0]*T0(x) + c[1]*T1(x) + ... + c[N]*TN(x)
or
c[0]*U0(x) + c[1]*U1(x) + ... + c[N]*UN(x)
depending on the R.
Parameters:
r - polynomial kind, either 1 or 2.
n - degree, n>=0
x - argument
Result:
the value of the Chebyshev polynomial at x
*************************************************************************/
double chebyshevsum(const real_1d_array &c, const ae_int_t r, const ae_int_t n, const double x);
/*************************************************************************
Representation of Tn as C[0] + C[1]*X + ... + C[N]*X^N
Input parameters:
N - polynomial degree, n>=0
Output parameters:
C - coefficients
*************************************************************************/
void chebyshevcoefficients(const ae_int_t n, real_1d_array &c);
/*************************************************************************
Conversion of a series of Chebyshev polynomials to a power series.
Represents A[0]*T0(x) + A[1]*T1(x) + ... + A[N]*Tn(x) as
B[0] + B[1]*X + ... + B[N]*X^N.
Input parameters:
A - Chebyshev series coefficients
N - degree, N>=0
Output parameters
B - power series coefficients
*************************************************************************/
void fromchebyshev(const real_1d_array &a, const ae_int_t n, real_1d_array &b);
/*************************************************************************
Chi-square distribution
Returns the area under the left hand tail (from 0 to x)
of the Chi square probability density function with
v degrees of freedom.
x
-
1 | | v/2-1 -t/2
P( x | v ) = ----------- | t e dt
v/2 - | |
2 | (v/2) -
0
where x is the Chi-square variable.
The incomplete gamma integral is used, according to the
formula
y = chdtr( v, x ) = igam( v/2.0, x/2.0 ).
The arguments must both be positive.
ACCURACY:
See incomplete gamma function
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double chisquaredistribution(const double v, const double x);
/*************************************************************************
Complemented Chi-square distribution
Returns the area under the right hand tail (from x to
infinity) of the Chi square probability density function
with v degrees of freedom:
inf.
-
1 | | v/2-1 -t/2
P( x | v ) = ----------- | t e dt
v/2 - | |
2 | (v/2) -
x
where x is the Chi-square variable.
The incomplete gamma integral is used, according to the
formula
y = chdtr( v, x ) = igamc( v/2.0, x/2.0 ).
The arguments must both be positive.
ACCURACY:
See incomplete gamma function
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier
*************************************************************************/
double chisquarecdistribution(const double v, const double x);
/*************************************************************************
Inverse of complemented Chi-square distribution
Finds the Chi-square argument x such that the integral
from x to infinity of the Chi-square density is equal
to the given cumulative probability y.
This is accomplished using the inverse gamma integral
function and the relation
x/2 = igami( df/2, y );
ACCURACY:
See inverse incomplete gamma function
Cephes Math Library Release 2.8: June, 2000
Copyright 1984, 1987, 2000 by Stephen L. Moshier