qtAppr: Compute Approximate Quantiles of the (Non-Central)...

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

Compute Approximate Quantiles of the (Non-Central) t-Distribution

Description

Compute quantiles (inverse distribution values) for the non-central t distribution. using Johnson,Kotz,.. p.521, formula (31.26 a) (31.26 b) & (31.26 c)

Note that qt(.., ncp=*) did not exist yet in 1999, when MM implemented qtAppr().

qtNappr() approximates t-quantiles for large df, i.e., when close to the Gaussian / normal distribution, using up to 4 asymptotic terms from Abramowitz & Stegun 26.7.5 (p.949).

Usage

qtAppr (p, df, ncp, lower.tail = TRUE, log.p = FALSE, method = c("a", "b", "c"))
qtNappr(p, df,      lower.tail = TRUE, log.p=FALSE, k) 

Arguments

p	vector of probabilities.
df	degrees of freedom > 0, maybe non-integer.
ncp	non-centrality parameter \delta; ....
lower.tail, log.p	logical, see, e.g., qt().
method	a string specifying the approximation method to be used.
k	an integer in {0,1,2,3,4}, choosing the number of terms in qtNappr().

Value

numeric vector of length length(p + df + ncp) with approximate t-quantiles.

References

Johnson, N.L., Kotz, S. and Balakrishnan, N. (1995) Continuous Univariate Distributions Vol~2, 2nd ed.; Wiley; chapter 31, Section 6 Approximation, p.519 ff

Abramowitz, M. and Stegun, I. A. (1972) Handbook of Mathematical Functions. New York: Dover; formula (26.7.5), p.949; https://en.wikipedia.org/wiki/Abramowitz_and_Stegun provides links to the full text which is in public domain.

See Also

Our qtU(); several non-central density and probability approximations in dntJKBf, and e.g., pntR. Further, R's qt.

Examples

qts <- function(p, df) {
    cbind(qt = qt(p, df=df)
        , qtN0 = qtNappr(p, df=df, k=0)
        , qtN1 = qtNappr(p, df=df, k=1)
        , qtN2 = qtNappr(p, df=df, k=2)
        , qtN3 = qtNappr(p, df=df, k=3)
        , qtN4 = qtNappr(p, df=df, k=4)
          )
}
p <- (0:100)/100
ii <- 2:100 # drop p=0 & p=1  where q*(p, .) == +/- Inf

df <- 100 # <<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
qsp1c <- qts(p, df = df)
matplot(p, qsp1c, type="l") # "all on top"
(dq <- (qsp1c[,-1] - qsp1c[,1])[ii,])
matplot(p[ii], dq, type="l", col=2:6,
        main = paste0("difference qtNappr(p,df) - qt(p,df), df=",df), xlab=quote(p))
matplot(p[ii], pmax(abs(dq), 1e-17), log="y", type="l", col=2:6,
        main = paste0("abs. difference |qtNappr(p,df) - qt(p,df)|, df=",df), xlab=quote(p))
legend("bottomright", paste0("k=",0:4), col=2:6, lty=1:5, bty="n")
matplot(p[ii], abs(dq/qsp1c[ii,"qt"]), log="y", type="l", col=2:6,
        main = sprintf("rel.error qtNappr(p, df=%g, k=*)",df), xlab=quote(p))
legend("left", paste0("k=",0:4), col=2:6, lty=1:5, bty="n")

df <- 2000 # <<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
qsp1c <- qts(p, df=df)
(dq <- (qsp1c[,-1] - qsp1c[,1])[ii,])
matplot(p[ii], dq, type="l", col=2:6,
        main = paste0("difference qtNappr(p,df) - qt(p,df), df=",df), xlab=quote(p))
legend("top", paste0("k=",0:4), col=2:6, lty=1:5)
matplot(p[ii], pmax(abs(dq), 1e-17), log="y", type="l", col=2:6,
        main = paste0("abs.diff. |qtNappr(p,df) - qt(p,df)|, df=",df), xlab=quote(p))
legend("right", paste0("k=",0:4), col=2:6, lty=1:5, bty="n")

matplot(p[ii], abs(dq/qsp1c[ii,"qt"]), log="y", type="l", col=2:6,
        main = sprintf("rel.error qtNappr(p, df=%g, k=*)",df), xlab=quote(p))
legend("left", paste0("k=",0:4), col=2:6, lty=1:5, bty="n")

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