[Boost-bugs] [Boost C++ Libraries] #8837: boost::math::students_t quantile() fails for huge degrees of freedom

Subject: [Boost-bugs] [Boost C++ Libraries] #8837: boost::math::students_t quantile() fails for huge degrees of freedom
From: Boost C++ Libraries (noreply_at_[hidden])
Date: 2013-07-17 16:32:29

#8837: boost::math::students_t quantile() fails for huge degrees of freedom
--------------------------------------+-------------------------
 Reporter:  Paul McClellan <paulm@…>  |      Owner:  johnmaddock
     Type:  Bugs                      |     Status:  new
Milestone:  To Be Determined          |  Component:  math
  Version:  Boost 1.54.0              |   Severity:  Problem
 Keywords:  math                      |
--------------------------------------+-------------------------
 Student's t quantile function calls policies::raise_rounding_error() in
 iround() when degrees of freedom = 4503599627370496.

 boost::math::students_t students(4503599627370496);
 double dRes = quantile(students, 0.4);

 If this is disabled using
 #define BOOST_MATH_ROUNDING_ERROR_POLICY ignore_error
 in user.hpp the computation will continue.

 The function inverse_students_t_hill() uses the test ndf > 1e20 to use the
 Standard Normal approximation, but Boost subsequently attempts to refine
 the estimate using the Halley step in fast_students_t_quantile_imp() and
 this becomes unreliable and eventually fails for huge dof such as dof =
 DBL_MAX (results in completely wrong result) or +Infinity (returns a NaN).

 For consistency, I suggest the quantile function us the same threshold as
 pdf() and cdf() to approximate the Student's t with the standard normal
 distribution when dof > 1/eps.

 I will attempt to attach my user.hpp file.

-- 
Ticket URL: <https://svn.boost.org/trac/boost/ticket/8837>
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