The R Project SVN R

/*
 *  AUTHOR
 *    Catherine Loader, catherine@research.bell-labs.com.
 *    October 23, 2000.
 *
 *  Merge in to R:
 *  Copyright (C) 2000-2013 The R Core Team
 *
 *  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 t density is evaluated as
 *         sqrt(n/2) / ((n+1)/2) * Gamma((n+3)/2) / Gamma((n+2)/2).
 *             * (1+x^2/n)^(-n/2)
 *             / sqrt( 2 pi (1+x^2/n) )
 *
 *    This form leads to a stable computation for all
 *    values of n, including n -> 0 and n -> infinity.
 */

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

double dt(double x, double n, int give_log)
{
#ifdef IEEE_754
    if (ISNAN(x) || ISNAN(n))
    return x + n;
#endif
    if (n <= 0) ML_ERR_return_NAN;
    if(!R_FINITE(x))
    return R_D__0;
    if(!R_FINITE(n))
    return dnorm(x, 0., 1., give_log);

    double u, ax, t = -bd0(n/2.,(n+1)/2.) + stirlerr((n+1)/2.) - stirlerr(n/2.),
    x2n = x*x/n, // in  [0, Inf]
    l_x2n; // := log(sqrt(1 + x2n)) = log(1 + x2n)/2
    Rboolean lrg_x2n =  (x2n > 1./DBL_EPSILON);
    if (lrg_x2n) { // large x^2/n :
    ax = fabs(x);
    l_x2n = log(ax) - log(n)/2.; // = log(x2n)/2 = 1/2 * log(x^2 / n)
    u = //  log(1 + x2n) * n/2 =  n * log(1 + x2n)/2 =
        n * l_x2n;
    }
    else if (x2n > 0.2) {
    l_x2n = log(1 + x2n)/2.;
    u = n * l_x2n;
    } else {
    l_x2n = log1p(x2n)/2.;
    u = -bd0(n/2.,(n+x*x)/2.) + x*x/2.;
    }

    //old: return  R_D_fexp(M_2PI*(1+x2n), t-u);

    // R_D_fexp(f,x) :=  (give_log ? -0.5*log(f)+(x) : exp(x)/sqrt(f))
    // f = 2pi*(1+x2n)
    //  ==> 0.5*log(f) = log(2pi)/2 + log(1+x2n)/2 = log(2pi)/2 + l_x2n
    //       1/sqrt(f) = 1/sqrt(2pi * (1+ x^2 / n))
    //             = 1/sqrt(2pi)/(|x|/sqrt(n)*sqrt(1+1/x2n))
    //             = M_1_SQRT_2PI * sqrt(n)/ (|x|*sqrt(1+1/x2n))
    if(give_log)
    return t-u - (M_LN_SQRT_2PI + l_x2n);

    // else :  if(lrg_x2n) : sqrt(1 + 1/x2n) ='= sqrt(1) = 1
    double I_sqrt_ = (lrg_x2n ? sqrt(n)/ax : exp(-l_x2n));
    return exp(t-u) * M_1_SQRT_2PI * I_sqrt_;
}