R: Noncentral Beta Probabilities

pnbeta {DPQ} | R Documentation

## Noncentral Beta Probabilities

### Description

`pnbetaAppr2()` and its inital version `pnbetaAppr2v1()` provide the “approximation 2” of Chattamvelli and Shanmugam(1997) to the noncentral Beta probability distribution.

`pnbetaAS310()` is an R level interface to a C translation (and “Rification”) of the `AS 310` Fortran implementation.

### Usage

    pnbetaAppr2(x, a, b, ncp = 0, lower.tail = TRUE, log.p = FALSE)

    pnbetaAS310(x, a, b, ncp = 0, lower.tail = TRUE, log.p = FALSE,
                useAS226 = (ncp < 54.),
                errmax = 1e-6, itrmax = 100)

### Arguments

`x` | numeric vector (of quantiles), typically from inside [0,1].
`a, b` | the shape parameters of Beta, aka as `shape1` and `shape2`.
`ncp` | non-centrality parameter.
`log.p` | logical; if TRUE, probabilities p are given as log(p).
`lower.tail` | logical; if TRUE (default), probabilities are P[X ≤ x], otherwise, P[X > x].
`useAS226` | `logical` specifying if AS 226 (with R84 and R95 amendments) should be used which is said to be sufficient for small `ncp`. The default `ncp < 54` had been hardwired in AS 310.
`errmax` | non-negative number determining convergence for AS 310.
`itrmax` | positive integer number, only `if(useAS226)` is passed to AS 226.

### Value

a numeric vector of (log) probabilities of the same length as `x`.

### Note

The authors in the reference compare AS 310 with Lam(1995), Frick(1990) and Lenth(1987) and state to be better than them. R's current (2019) noncentral beta implementation builds on these, too, with some amendments though; still, `pnbetaAS310()` may potentially be better, at least in certain corners of the 4-dimensional input space.

### Author(s)

Martin Maechler; `pnbetaAppr2()` in Oct 2007.

### References

Chattamvelli, R., and Shanmugam, R. (1997) Algorithm AS 310: Computing the Non-Central Beta Distribution Function. Journal of the Royal Statistical Society. Series C (Applied Statistics) 46(1), 146–156, for “approximation 2” notably p.154; doi: 10.1111/1467-9876.00055.

Lenth, R. V. (1987) Algorithm AS 226, ..., Frick, H. (1990)'s AS R84, ..., and Lam, M.L. (1995)'s AS R95 : See ‘References’ in R's `pbeta` page.

### See Also

R's own `pbeta`.

### Examples

    ## Same arguments as for Table 1 (p.151) of the reference
    a <- 5*rep(1:3, each=3)
    aargs <- cbind(a = a, b = a,
                   ncp = rep(c(54, 140, 170), 3),
                   x = 1e-4*c(8640, 9000, 9560, 8686, 9000, 9000, 8787, 9000, 9220))
    aargs
    pnbA2 <- apply(aargs, 1, function(aa) do.call(pnbetaAppr2, as.list(aa)))
    pnA310<- apply(aargs, 1, function(aa) do.call(pnbetaAS310, as.list(aa)))
    aar2 <- aargs; dimnames(aar2)[[2]] <- c(paste0("shape", 1:2), "ncp", "q")
    pnbR  <- apply(aar2,  1, function(aa) do.call(pbeta, as.list(aa)))
    range(relD2   <- 1 - pnbA2 /pnbR)
    range(relD310 <- 1 - pnA310/pnbR)
    cbind(aargs, pnbA2, pnA310, pnbR,
          relD2 = signif(relD2, 3), relD310 = signif(relD310, 3)) # <------> Table 1
    stopifnot(abs(relD2)   < 0.009) # max is 0.006286
    stopifnot(abs(relD310) < 1e-5 ) # max is 6.3732e-6

    ## Arguments as for Table 2 (p.152) of the reference :
    aarg2 <- cbind(a = c( 10, 10, 15, 20, 20, 20, 30, 30),
                   b = c( 20, 10,  5, 10, 30, 50, 20, 40),
                   ncp=c(150,120, 80,110, 65,130, 80,130),
                   x = c(868,900,880,850,660,720,720,800)/1000)
    pnbA2 <- apply(aarg2, 1, function(aa) do.call(pnbetaAppr2, as.list(aa)))
    pnA310<- apply(aarg2, 1, function(aa) do.call(pnbetaAS310, as.list(aa)))
    aar2 <- aarg2; dimnames(aar2)[[2]] <- c(paste0("shape", 1:2), "ncp", "q")
    pnbR  <- apply(aar2,  1, function(aa) do.call(pbeta, as.list(aa)))
    range(relD2   <- 1 - pnbA2 /pnbR)
    range(relD310 <- 1 - pnA310/pnbR)
    cbind(aarg2, pnbA2, pnA310, pnbR,
          relD2 = signif(relD2, 3), relD310 = signif(relD310, 3)) # <------> Table 2
    stopifnot(abs(relD2  ) < 0.006) # max is 0.00412
    stopifnot(abs(relD310) < 1e-5 ) # max is 5.5953e-6

    ## Arguments as for Table 3 (p.152) of the reference :
    aarg3 <- cbind(a = c( 10, 10, 10, 15, 10, 12, 30, 35),
                   b = c(  5, 10, 30, 20,  5, 17, 30, 30),
                   ncp=c( 20, 54, 80,120, 55, 64,140, 20),
                   x = c(644,700,780,760,795,560,800,670)/1000)
    pnbA3 <- apply(aarg3, 1, function(aa) do.call(pnbetaAppr2, as.list(aa)))
    pnA310<- apply(aarg3, 1, function(aa) do.call(pnbetaAS310, as.list(aa)))
    aar3 <- aarg3; dimnames(aar3)[[2]] <- c(paste0("shape", 1:2), "ncp", "q")
    pnbR  <- apply(aar3,  1, function(aa) do.call(pbeta, as.list(aa)))
    range(relD2   <- 1 - pnbA3 /pnbR)
    range(relD310 <- 1 - pnA310/pnbR)
    cbind(aarg3, pnbA3, pnA310, pnbR,
          relD2 = signif(relD2, 3), relD310 = signif(relD310, 3)) # <------> Table 3
    stopifnot(abs(relD2  ) < 0.09) # max is 0.06337
    stopifnot(abs(relD310) < 1e-4) # max is 3.898e-5

[Package DPQ version 0.5-2 Index]