The R Project SVN R

/*
 *  Mathlib : A C Library of Special Functions
 *  Copyright (C) 1998 Ross Ihaka
 *  Copyright (C) 2000-8 The R Development Core Team
 *  Copyright (C) 2004-8 The R Foundation
 *
 *  This program is free software; you can redistribute it and/or modify
 *  it under the terms of the GNU General Public License as published by
 *  the Free Software Foundation; either version 2 of the License, or
 *  (at your option) any later version.
 *
 *  This program is distributed in the hope that it will be useful, but
 *  WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
 *  General Public License for more details.
 *
 *  You should have received a copy of the GNU General Public License
 *  along with this program; if not, a copy is available at
 *  http://www.r-project.org/Licenses/
 *
 *  DESCRIPTION
 *
 *    The density of the noncentral chi-squared distribution with "df"
 *    degrees of freedom and noncentrality parameter "ncp".
 */

#include "nmath.h"
#include "dpq.h"

double dnchisq(double x, double df, double ncp, int give_log)
{
    const static double eps = 5e-15;

    double i, ncp2, q, mid, dfmid, imax;
    long double sum, term;

#ifdef IEEE_754
    if (ISNAN(x) || ISNAN(df) || ISNAN(ncp))
    return x + df + ncp;
#endif
    if (ncp < 0 || df <= 0) ML_ERR_return_NAN;

    if (!R_FINITE(df) || !R_FINITE(ncp))
    ML_ERR_return_NAN;

    if(x < 0) return R_D__0;
    if(x == 0 && df < 2.)
    return ML_POSINF;
    if(ncp == 0)
    return dchisq(x, df, give_log);
    if(x == ML_POSINF) return R_D__0;

    ncp2 = 0.5 * ncp;

    /* find max element of sum */
    imax = ceil((-(2+df) +sqrt((2-df) * (2-df) + 4 * ncp * x))/4);
    if (imax < 0) imax = 0;
    if(R_FINITE(imax)) {
    dfmid = df + 2 * imax;
    mid = dpois_raw(imax, ncp2, FALSE) * dchisq(x, dfmid, FALSE);
    } else /* imax = Inf */
    mid = 0;

    if(mid == 0) {
    /* underflow to 0 -- maybe numerically correct; maybe can be more accurate,
     * particularly when  give_log = TRUE */
    /* Use  central-chisq approximation formula when appropriate;
     * ((FIXME: the optimal cutoff also depends on (x,df);  use always here? )) */
    if(give_log || ncp > 1000.) {
        double nl = df + ncp, ic = nl/(nl + ncp);/* = "1/(1+b)" Abramowitz & St.*/
        return dchisq(x*ic, nl*ic, give_log);
    } else
        return R_D__0;
    }

    sum = mid;

    /* errorbound := term * q / (1-q)  now subsumed in while() / if() below: */

    /* upper tail */
    term = mid; df = dfmid; i = imax;
    double x2 = x * ncp2;
    do {
    i++;
    q = x2 / i / df;
    df += 2;
    term *= q;
    sum += term;
    } while (q >= 1 || term * q > (1-q)*eps || term > 1e-10*sum);
    /* lower tail */
    term = mid; df = dfmid; i = imax;
    while (i) {
    df -= 2;
    q = i * df / x2;
    i--;
    term *= q;
    sum += term;
    if (q < 1 && term * q <= (1-q)*eps) break;
    }
    return R_D_val(sum);
}