nag_deviates_students_t (g01fbc) (PDF version)
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g01 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_deviates_students_t (g01fbc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_deviates_students_t (g01fbc) returns the deviate associated with the given tail probability of Student's t-distribution with real degrees of freedom.

2  Specification

#include <nag.h>
#include <nagg01.h>
double  nag_deviates_students_t (Nag_TailProbability tail, double p, double df, NagError *fail)

3  Description

The deviate, tp associated with the lower tail probability, p, of the Student's t-distribution with ν degrees of freedom is defined as the solution to
PT<tp:ν=p=Γν+1/2 νπΓν/2 -tp 1+T2ν -ν+1/2dT,  ν1; ​-<tp<.
For ν=1​ or ​2 the integral equation is easily solved for tp.
For other values of ν<3 a transformation to the beta distribution is used and the result obtained from nag_deviates_beta (g01fec).
For ν3 an inverse asymptotic expansion of Cornish–Fisher type is used. The algorithm is described by Hill (1970).

4  References

Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth
Hill G W (1970) Student's t-distribution Comm. ACM 13(10) 617–619

5  Arguments

1:     tailNag_TailProbabilityInput
On entry: indicates which tail the supplied probability represents.
The upper tail probability, i.e., PTtp:ν.
The lower tail probability, i.e., PTtp:ν.
The two tail (significance level) probability, i.e., PTtp:ν+PT-tp:ν.
The two tail (confidence interval) probability, i.e., PTtp:ν-PT-tp:ν.
Constraint: tail=Nag_UpperTail, Nag_LowerTail, Nag_TwoTailSignif or Nag_TwoTailConfid.
2:     pdoubleInput
On entry: p, the probability from the required Student's t-distribution as defined by tail.
Constraint: 0.0<p<1.0.
3:     dfdoubleInput
On entry: ν, the degrees of freedom of the Student's t-distribution.
Constraint: df1.0.
4:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

On any of the error conditions listed below except NE_SOL_NOT_CONV nag_deviates_students_t (g01fbc) returns 0.0 .
Dynamic memory allocation failed.
On entry, argument value had an illegal value.
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.
On entry, p=value.
Constraint: p<1.0.
On entry, p=value.
Constraint: p>0.0.
On entry, df=value.
Constraint: df1.0.
The solution has failed to converge. However, the result should be a reasonable approximation.

7  Accuracy

The results should be accurate to five significant digits, for most argument values. The error behaviour for various argument values is discussed in Hill (1970).

8  Further Comments

The value tp may be calculated by using the transformation described in Section 3 and using nag_deviates_beta (g01fec). This function allows you to set the required accuracy.

9  Example

This example reads the probability, the tail that probability represents and the degrees of freedom for a number of Student's t-distributions and computes the corresponding deviates.

9.1  Program Text

Program Text (g01fbce.c)

9.2  Program Data

Program Data (g01fbce.d)

9.3  Program Results

Program Results (g01fbce.r)

nag_deviates_students_t (g01fbc) (PDF version)
g01 Chapter Contents
g01 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012