[Boost-commit] svn:boost r80066 - trunk/boost/math/distributions

Subject: [Boost-commit] svn:boost r80066 - trunk/boost/math/distributions
From: john_at_[hidden]
Date: 2012-08-17 08:21:57

Author: johnmaddock
Date: 2012-08-17 08:21:57 EDT (Fri, 17 Aug 2012)
New Revision: 80066
URL: http://svn.boost.org/trac/boost/changeset/80066

Log:
Add student's t approximations for large v.
Text files modified: 
   trunk/boost/math/distributions/non_central_t.hpp |    19 +++++++++++++++++++                     
   1 files changed, 19 insertions(+), 0 deletions(-)

Modified: trunk/boost/math/distributions/non_central_t.hpp
==============================================================================
--- trunk/boost/math/distributions/non_central_t.hpp	(original)
+++ trunk/boost/math/distributions/non_central_t.hpp	2012-08-17 08:21:57 EDT (Fri, 17 Aug 2012)
@@ -214,6 +214,16 @@
                delta = -delta;
                invert = !invert;
             }
+            if(fabs(delta / (4 * n)) < policies::get_epsilon<T, Policy>())
+            {
+               // Approximate with a Student's T centred on delta,
+               // the crossover point is based on eq 2.6 from
+               // "A Comparison of Approximations To Persentiles of the
+               // Noncentral t-Distribution".  H. Sahai and M. M. Ojeda,
+               // Revista Investigacion Operacional Vol 21, No 2, 2000.
+               T result = cdf(students_t_distribution<T, Policy>(n), t - delta);
+               return invert ? 1 - result : result;
+            }
             //
             // x and y are the corresponding random
             // variables for the noncentral beta distribution,
@@ -437,6 +447,15 @@
                   * sqrt(n / constants::pi<T>()) 
                   * exp(-delta * delta / 2) / 2;
             }
+            if(fabs(delta / (4 * n)) < policies::get_epsilon<T, Policy>())
+            {
+               // Approximate with a Student's T centred on delta,
+               // the crossover point is based on eq 2.6 from
+               // "A Comparison of Approximations To Persentiles of the
+               // Noncentral t-Distribution".  H. Sahai and M. M. Ojeda,
+               // Revista Investigacion Operacional Vol 21, No 2, 2000.
+               return pdf(students_t_distribution<T, Policy>(n), t - delta);
+            }
             //
             // x and y are the corresponding random
             // variables for the noncentral beta distribution,