Returns the inverse of the Student's t cumulative probability
distribution function.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public static double StudentsT(
double p,
double df
)
Public Shared Function StudentsT (
p As Double,
df As Double
) As Double
public:
static double StudentsT(
double p,
double df
)
static member StudentsT :
p : float *
df : float -> float
Parameters
- p
- Type: SystemDouble
A double scalar value representing the probability for which
the inverse Student's t function is to be evaluated.
- df
- Type: SystemDouble
A double scalar value representing the number of degrees of
freedom. This must be at least one.
Return Value
Type:
Double
A
double scalar value. The probability that a Student's
t random variable takes a value less than or equal to this
returned value is
p.
Remarks InvCdf.StudentsT evaluates the inverse distribution function of a
Student's
t random variable with
df degrees of
freedom. Let
v = df. If
v equals 1
or 2, the inverse can be obtained in closed form, if
v is
between 1 and 2, the relationship of a
t to a beta random
variable is exploited and
InvCdf.Beta is used to
evaluate the inverse; otherwise the algorithm of Hill (1970) is
used. For small values of
v greater than 2, Hill's algorithm
inverts an integrated expansion in
of the
t density. For larger values, an asymptotic inverse
Cornish-Fisher type expansion about normal deviates is used.
See Also