For a linear combination of noncentral
random variables with integer degrees of freedom the lower tail probability is
where
and
are positive constants and where
represents an independent
random variable with
degrees of freedom and noncentrality argument
. The linear combination may arise from considering a quadratic form in Normal variables.
Ruben's method as described in
Farebrother (1984) is used. Ruben has shown that
(1) may be expanded as an infinite series of the form
where
, i.e., the probability that a central
is less than
.
- 1:
– const doubleInput
-
On entry: the weights, .
Constraint:
, for .
- 2:
– const IntegerInput
-
On entry: the degrees of freedom, .
Constraint:
, for .
- 3:
– const doubleInput
-
On entry: the noncentrality parameters, .
Constraint:
, for .
- 4:
– IntegerInput
-
On entry:
, the number of
random variables in the combination, i.e., the number of terms in equation
(1).
Constraint:
.
- 5:
– doubleInput
-
On entry: , the point for which the lower tail probability is to be evaluated.
Constraint:
.
- 6:
– double *Output
-
On exit: the lower tail probability associated with the linear combination of random variables with
degrees of freedom, and noncentrality arguments , for .
- 7:
– double *Output
-
On exit: the value of the probability density function of the linear combination of variables.
- 8:
– doubleInput
-
On entry: the relative accuracy required by you in the results. If
nag_prob_lin_non_central_chi_sq (g01jcc) is entered with
tol greater than or equal to
or less than
(see
nag_machine_precision (X02AJC)), the value of
is used instead.
- 9:
– IntegerInput
-
On entry: the maximum number of terms that should be used during the summation.
Suggested value:
.
Constraint:
.
- 10:
– NagError *Input/Output
-
The NAG error argument (see
Section 3.7 in How to Use the NAG Library and its Documentation).
- NE_ACCURACY
-
The solution has failed to converge within
maxit iterations.
A larger value of
maxit or
tol should be used. The
returned value should be a reasonable approximation to the correct value.
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_CONVERGENCE
-
The central
calculation has failed to converge. This is an unlikely exit. A larger value of
tol should be tried.
- NE_INT
-
On entry, .
Constraint: .
On entry, .
Constraint: .
- NE_INT_ARRAY
-
On entry, .
Constraint: , for .
- NE_INTERNAL_ERROR
-
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.
See
Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
- NE_PROB_BOUNDARY
-
The solution appears to be too close to or for accurate calculation. The value returned is or as appropriate.
- NE_REAL
-
On entry, .
Constraint: .
- NE_REAL_ARRAY
-
On entry, .
Constraint: , for .
On entry, .
Constraint: , for .
The series
(2) is summed until a bound on the truncation error is less than
tol. See
Farebrother (1984) for further discussion.
None.