lbeta: (Log) Beta and Ratio of Gammas Approximations

In DPQ: Density, Probability, Quantile ('DPQ') Computations

(Log) Beta and Ratio of Gammas Approximations

Description

Compute log(beta(a,b)) in a simple (fast) or asymptotic way. The asymptotic case is based on the asymptotic \Gamma (gamma) ratios, provided in Qab_terms() and logQab_asy().

lbeta_asy(a,b, ..) is simply lgamma(a) - logQab_asy(a, b, ..).

Usage

lbetaM   (a, b, k.max = 5, give.all = FALSE)
lbeta_asy(a, b, k.max = 5, give.all = FALSE)
lbetaMM  (a, b, cutAsy = 1e-2, verbose = FALSE)

 betaI(a, n)
lbetaI(a, n)

logQab_asy(a, b, k.max = 5, give.all = FALSE)
Qab_terms(a, k)

Arguments

a, b, n	the Beta parameters, see beta; n must be a positive integer and “small”.
k.max, k	for lbeta*() and logQab_asy(): the number of terms to be used in the series expansion of Qab_terms(), currently must be in {0, 1, .., 5}.
give.all	logical indicating if all terms should be returned (as columns of a matrix) or just the result.
cutAsy	cutoff value from where to switch to asymptotic formula.
verbose	logical (or integer) indicating if and how much monitoring information should be printed to the console.

Details

All lbeta*() functions compute log(beta(a,b)).

We use Qab = Qab(a,b) for

Q_{a,b} := \frac{\Gamma(a + b)}{\Gamma(b)},

which is numerically challenging when b becomes large compared to a, or a \ll b.

With the beta function

B(a,b) = \frac{\Gamma(a)\Gamma(b)}{\Gamma(a+b)} = \frac{\Gamma(a)}{Qab},

and hence

\log B(a,b) = \log\Gamma(a) + \log\Gamma(b) - \log\Gamma(a+b) = \log\Gamma(a) - \log Qab,

or in R, lbeta(a,b) := lgamma(a) - logQab(a,b).

Indeed, typically everything has to be computed in log scale, as both \Gamma(b) and \Gamma(a+b) would overflow numerically for large b. Consequently, we use logQab*(), and for the large b case logQab_asy() specifically,

\code{logQab(a,b)} := \log( Qab(a,b) ).

The 5 polynomial terms in Qab_terms() have been derived by the author in 1997, but not published, about getting asymptotic formula for \Gamma ratios, related to but different than formula (6.1.47) in Abramowitz and Stegun.

We also have a vignette about this, but really the problem has been adressed pragmatically by the authors of TOMS 708, see the ‘References’ in pbeta, by their routine algdiv() which also is available in our package DPQ, \code{algdiv}(a,b) = - \code{logQab}(a,b). Note that this is related to computing qbeta() in boundary cases. See also algdiv() ‘Details’.

Value

a fast or simple (approximate) computation of lbeta(a,b).

Author(s)

Martin Maechler

References

Abramowitz, M. and Stegun, I. A. (1972) Handbook of Mathematical Functions. New York: Dover. https://en.wikipedia.org/wiki/Abramowitz_and_Stegun provides links to the full text which is in public domain; Formula (6.1.47), p.257

See Also

R's beta function; algdiv().

Examples

(r  <- logQab_asy(1, 50))
(rF <- logQab_asy(1, 50, give.all=TRUE))
r == rF # all TRUE:  here, even the first approx. is good!
(r2  <- logQab_asy(5/4, 50))
(r2F <- logQab_asy(5/4, 50, give.all=TRUE))
r2 == r2F # TRUE only first entry "5"
(r2F.3 <- logQab_asy(5/4, 50, k=3, give.all=TRUE))

## Check relation to Beta(), Gamma() functions:
a <- 1.1 * 2^(-6:4)
b <- 1001.5
rDlgg <- lgamma(a+b) - lgamma(b) # suffers from cancellation for small 'a'
rDlgb <- lgamma(a) - lbeta(a, b) #    (ditto)
ralgd <- - algdiv(a,b)
rQasy <- logQab_asy(a, b)
cbind(a, rDlgg, rDlgb, ralgd, rQasy)
all.equal(rDlgg, rDlgb, tolerance = 0) # 3.0e-14
all.equal(rDlgb, ralgd, tolerance = 0) # 1.2e-16
all.equal(ralgd, rQasy, tolerance = 0) # 4.1e-10
all.equal(rQasy, rDlgg, tolerance = 0) # 3.5e-10

stopifnot(exprs = {
    all.equal(rDlgg, rDlgb, tolerance = 1e-12) # 3e-14 {from cancellations!}
    all.equal(rDlgb, ralgd, tolerance = 1e-13) # 1e-16
    all.equal(ralgd, rQasy, tolerance = 2e-9) # 4.1e-10
    all.equal(rQasy, rDlgg, tolerance = 2e-9) # 3.5e-10
    all.equal(lgamma(a)-lbeta(a, 2*b), logQab_asy(a, 2*b), tolerance =1e-10)# 1.4e-11
    all.equal(lgamma(a)-lbeta(a, b/2), logQab_asy(a, b/2), tolerance = 1e-7)# 1.2e-8
})
if(requireNamespace("Rmpfr")) withAutoprint({
  aM <- Rmpfr::mpfr(a, 512)
  bM <- Rmpfr::mpfr(b, 512)
  rT <- lgamma(aM+bM) - lgamma(bM) # "True" i.e. accurate values
  relE <- Rmpfr::asNumeric(sfsmisc::relErrV(rT, cbind(rDlgg, rDlgb, ralgd, rQasy)))
  cbind(a, signif(relE,4))
  ##          a      rDlgg      rDlgb      ralgd      rQasy
  ##  0.0171875  4.802e-12  3.921e-16  4.145e-17 -4.260e-16
  ##  0.0343750  1.658e-12  1.509e-15 -1.011e-17  1.068e-16
  ##  0.0687500 -2.555e-13  6.853e-16 -1.596e-17 -1.328e-16
  ##  0.1375000  1.916e-12 -7.782e-17  3.905e-17 -7.782e-17
  ##  0.2750000  1.246e-14  7.001e-17  7.001e-17 -4.686e-17
  ##  0.5500000 -2.313e-13  5.647e-17  5.647e-17 -6.040e-17
  ##  1.1000000 -9.140e-14 -1.298e-16 -1.297e-17 -1.297e-17
  ##  2.2000000  9.912e-14  2.420e-17  2.420e-17 -9.265e-17
  ##  4.4000000  1.888e-14  6.810e-17 -4.873e-17 -4.873e-17
  ##  8.8000000 -7.491e-15  1.004e-16 -1.638e-17 -4.118e-13
  ## 17.6000000  2.222e-15  1.207e-16  3.974e-18 -6.972e-10

## ==>  logQab_asy() is very good _here_ as long as  a << b
})

DPQ documentation built on Sept. 11, 2024, 8:37 p.m.