InvCdfNoncentralchi Method |
Evaluates the inverse of the noncentral chi-squared cumulative
probability distribution function.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public static double Noncentralchi(
double p,
double df,
double alam
)
Public Shared Function Noncentralchi (
p As Double,
df As Double,
alam As Double
) As Double
public:
static double Noncentralchi(
double p,
double df,
double alam
)
static member Noncentralchi :
p : float *
df : float *
alam : float -> float
Parameters
- p
- Type: SystemDouble
A double scalar value representing the probability for which
the inverse noncentral chi-squared distribution function is to be
evaluated. p must be in the open interval
(0.0, 1.0).
- df
- Type: SystemDouble
A double scalar value representing the number of degrees of
freedom. This must be at least 0.5. but less than or equal to
200,000.
- alam
- Type: SystemDouble
A double scalar value representing the noncentrality
parameter. This must be nonnegative, and
alam + df must be less than
or equal to 200,000.
Return Value
Type:
Double
A
double scalar value. The probability that a noncentral
chi-squared random variable takes a value less than or equal to
this returned value is
p.
Remarks
Method
InvCdf.Noncentralchi evaluates the inverse distribution
function of a noncentral chi-squared random variable with
df degrees of freedom and noncentrality
parameter
alam, that is, with
P =p,
, and
, it determines
InvCdf.Noncentralchi(p, df, alam), such that
where
is the Gamma function. The
probability that the random variable takes a value less than or
equal to
is
.
Method InvCdf.Noncentralchi uses bisection and modified
regula falsi to invert the distribution function, which is
evaluated using Cdf.Noncentralchi. See
Cdf.Noncentralchi for an alternative definition of
the noncentral chi-squared random variable in terms of normal
random variables.
See Also