ptukey.c

/*
 *  Mathlib : A C Library of Special Functions
 *  Copyright (C) 1998       Ross Ihaka
 *  Copyright (C) 2000--2007 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/
 *
 *  SYNOPSIS
 *
 *    #include <Rmath.h>
 *    double ptukey(q, rr, cc, df, lower_tail, log_p);
 *
 *  DESCRIPTION
 *
 *    Computes the probability that the maximum of rr studentized
 *    ranges, each based on cc means and with df degrees of freedom
 *    for the standard error, is less than q.
 *
 *    The algorithm is based on that of the reference.
 *
 *  REFERENCE
 *
 *    Copenhaver, Margaret Diponzio & Holland, Burt S.
 *    Multiple comparisons of simple effects in
 *    the two-way analysis of variance with fixed effects.
 *    Journal of Statistical Computation and Simulation,
 *    Vol.30, pp.1-15, 1988.
 */

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

static double wprob(double w, double rr, double cc)
{
/*  wprob() :

	This function calculates probability integral of Hartley's
	form of the range.

	w     = value of range
	rr    = no. of rows or groups
	cc    = no. of columns or treatments
	ir    = error flag = 1 if pr_w probability > 1
	pr_w = returned probability integral from (0, w)

	program will not terminate if ir is raised.

	bb = upper limit of legendre integration
	iMax = maximum acceptable value of integral
	nleg = order of legendre quadrature
	ihalf = int ((nleg + 1) / 2)
	wlar = value of range above which wincr1 intervals are used to
	       calculate second part of integral,
	       else wincr2 intervals are used.
	C1, C2, C3 = values which are used as cutoffs for terminating
	or modifying a calculation.

	M_1_SQRT_2PI = 1 / sqrt(2 * pi);  from abramowitz & stegun, p. 3.
	M_SQRT2 = sqrt(2)
	xleg = legendre 12-point nodes
	aleg = legendre 12-point coefficients
 */
#define nleg	12
#define ihalf	6

    /* looks like this is suboptimal for double precision.
       (see how C1-C3 are used) <MM>
    */
    /* const double iMax  = 1.; not used if = 1*/
    const static double C1 = -30.;
    const static double C2 = -50.;
    const static double C3 = 60.;
    const static double bb   = 8.;
    const static double wlar = 3.;
    const static double wincr1 = 2.;
    const static double wincr2 = 3.;
    const static double xleg[ihalf] = {
	0.981560634246719250690549090149,
	0.904117256370474856678465866119,
	0.769902674194304687036893833213,
	0.587317954286617447296702418941,
	0.367831498998180193752691536644,
	0.125233408511468915472441369464
    };
    const static double aleg[ihalf] = {
	0.047175336386511827194615961485,
	0.106939325995318430960254718194,
	0.160078328543346226334652529543,
	0.203167426723065921749064455810,
	0.233492536538354808760849898925,
	0.249147045813402785000562436043
    };
    double a, ac, pr_w, b, binc, c, cc1,
	pminus, pplus, qexpo, qsqz, rinsum, wi, wincr, xx;
    LDOUBLE blb, bub, einsum, elsum;
    int j, jj;


    qsqz = w * 0.5;

    /* if w >= 16 then the integral lower bound (occurs for c=20) */
    /* is 0.99999999999995 so return a value of 1. */

    if (qsqz >= bb)
	return 1.0;

    /* find (f(w/2) - 1) ^ cc */
    /* (first term in integral of hartley's form). */

    pr_w = 2 * pnorm(qsqz, 0.,1., 1,0) - 1.; /* erf(qsqz / M_SQRT2) */
    /* if pr_w ^ cc < 2e-22 then set pr_w = 0 */
    if (pr_w >= exp(C2 / cc))
	pr_w = pow(pr_w, cc);
    else
	pr_w = 0.0;

    /* if w is large then the second component of the */
    /* integral is small, so fewer intervals are needed. */

    if (w > wlar)
	wincr = wincr1;
    else
	wincr = wincr2;

    /* find the integral of second term of hartley's form */
    /* for the integral of the range for equal-length */
    /* intervals using legendre quadrature.  limits of */
    /* integration are from (w/2, 8).  two or three */
    /* equal-length intervals are used. */

    /* blb and bub are lower and upper limits of integration. */

    blb = qsqz;
    binc = (bb - qsqz) / wincr;
    bub = blb + binc;
    einsum = 0.0;

    /* integrate over each interval */

    cc1 = cc - 1.0;
    for (wi = 1; wi <= wincr; wi++) {
	elsum = 0.0;
	a = (double)(0.5 * (bub + blb));

	/* legendre quadrature with order = nleg */

	b = (double)(0.5 * (bub - blb));

	for (jj = 1; jj <= nleg; jj++) {
	    if (ihalf < jj) {
		j = (nleg - jj) + 1;
		xx = xleg[j-1];
	    } else {
		j = jj;
		xx = -xleg[j-1];
	    }
	    c = b * xx;
	    ac = a + c;

	    /* if exp(-qexpo/2) < 9e-14, */
	    /* then doesn't contribute to integral */

	    qexpo = ac * ac;
	    if (qexpo > C3)
		break;

	    pplus = 2 * pnorm(ac, 0., 1., 1,0);
	    pminus= 2 * pnorm(ac, w,  1., 1,0);

	    /* if rinsum ^ (cc-1) < 9e-14, */
	    /* then doesn't contribute to integral */

	    rinsum = (pplus * 0.5) - (pminus * 0.5);
	    if (rinsum >= exp(C1 / cc1)) {
		rinsum = (aleg[j-1] * exp(-(0.5 * qexpo))) * pow(rinsum, cc1);
		elsum += rinsum;
	    }
	}
	elsum *= (((2.0 * b) * cc) * M_1_SQRT_2PI);
	einsum += elsum;
	blb = bub;
	bub += binc;
    }

    /* if pr_w ^ rr < 9e-14, then return 0 */
    pr_w += (double) einsum;
    if (pr_w <= exp(C1 / rr))
	return 0.;

    pr_w = pow(pr_w, rr);
    if (pr_w >= 1.)/* 1 was iMax was eps */
	return 1.;
    return pr_w;
} /* wprob() */


double ptukey(double q, double rr, double cc, double df,
	      int lower_tail, int log_p)
{
/*  function ptukey() [was qprob() ]:

	q = value of studentized range
	rr = no. of rows or groups
	cc = no. of columns or treatments
	df = degrees of freedom of error term
	ir[0] = error flag = 1 if wprob probability > 1
	ir[1] = error flag = 1 if qprob probability > 1

	qprob = returned probability integral over [0, q]

	The program will not terminate if ir[0] or ir[1] are raised.

	All references in wprob to Abramowitz and Stegun
	are from the following reference:

	Abramowitz, Milton and Stegun, Irene A.
	Handbook of Mathematical Functions.
	New York:  Dover publications, Inc. (1970).

	All constants taken from this text are
	given to 25 significant digits.

	nlegq = order of legendre quadrature
	ihalfq = int ((nlegq + 1) / 2)
	eps = max. allowable value of integral
	eps1 & eps2 = values below which there is
		      no contribution to integral.

	d.f. <= dhaf:	integral is divided into ulen1 length intervals.  else
	d.f. <= dquar:	integral is divided into ulen2 length intervals.  else
	d.f. <= deigh:	integral is divided into ulen3 length intervals.  else
	d.f. <= dlarg:	integral is divided into ulen4 length intervals.

	d.f. > dlarg:	the range is used to calculate integral.

	M_LN2 = log(2)

	xlegq = legendre 16-point nodes
	alegq = legendre 16-point coefficients

	The coefficients and nodes for the legendre quadrature used in
	qprob and wprob were calculated using the algorithms found in:

	Stroud, A. H. and Secrest, D.
	Gaussian Quadrature Formulas.
	Englewood Cliffs,
	New Jersey:  Prentice-Hall, Inc, 1966.

	All values matched the tables (provided in same reference)
	to 30 significant digits.

	f(x) = .5 + erf(x / sqrt(2)) / 2      for x > 0

	f(x) = erfc( -x / sqrt(2)) / 2	      for x < 0

	where f(x) is standard normal c. d. f.

	if degrees of freedom large, approximate integral
	with range distribution.
 */
#define nlegq	16
#define ihalfq	8

/*  const double eps = 1.0; not used if = 1 */
    const static double eps1 = -30.0;
    const static double eps2 = 1.0e-14;
    const static double dhaf  = 100.0;
    const static double dquar = 800.0;
    const static double deigh = 5000.0;
    const static double dlarg = 25000.0;
    const static double ulen1 = 1.0;
    const static double ulen2 = 0.5;
    const static double ulen3 = 0.25;
    const static double ulen4 = 0.125;
    const static double xlegq[ihalfq] = {
	0.989400934991649932596154173450,
	0.944575023073232576077988415535,
	0.865631202387831743880467897712,
	0.755404408355003033895101194847,
	0.617876244402643748446671764049,
	0.458016777657227386342419442984,
	0.281603550779258913230460501460,
	0.950125098376374401853193354250e-1
    };
    const static double alegq[ihalfq] = {
	0.271524594117540948517805724560e-1,
	0.622535239386478928628438369944e-1,
	0.951585116824927848099251076022e-1,
	0.124628971255533872052476282192,
	0.149595988816576732081501730547,
	0.169156519395002538189312079030,
	0.182603415044923588866763667969,
	0.189450610455068496285396723208
    };
    double ans, f2, f21, f2lf, ff4, otsum, qsqz, rotsum, t1, twa1, ulen, wprb;
    int i, j, jj;

#ifdef IEEE_754
    if (ISNAN(q) || ISNAN(rr) || ISNAN(cc) || ISNAN(df))
	ML_ERR_return_NAN;
#endif

    if (q <= 0)
	return R_DT_0;

    /* df must be > 1 */
    /* there must be at least two values */

    if (df < 2 || rr < 1 || cc < 2) ML_ERR_return_NAN;

    if(!R_FINITE(q))
	return R_DT_1;

    if (df > dlarg)
	return R_DT_val(wprob(q, rr, cc));

    /* calculate leading constant */

    f2 = df * 0.5;
    /* lgammafn(u) = log(gamma(u)) */
    f2lf = ((f2 * log(df)) - (df * M_LN2)) - lgammafn(f2);
    f21 = f2 - 1.0;

    /* integral is divided into unit, half-unit, quarter-unit, or */
    /* eighth-unit length intervals depending on the value of the */
    /* degrees of freedom. */

    ff4 = df * 0.25;
    if	    (df <= dhaf)	ulen = ulen1;
    else if (df <= dquar)	ulen = ulen2;
    else if (df <= deigh)	ulen = ulen3;
    else			ulen = ulen4;

    f2lf += log(ulen);

    /* integrate over each subinterval */

    ans = 0.0;

    for (i = 1; i <= 50; i++) {
	otsum = 0.0;

	/* legendre quadrature with order = nlegq */
	/* nodes (stored in xlegq) are symmetric around zero. */

	twa1 = (2 * i - 1) * ulen;

	for (jj = 1; jj <= nlegq; jj++) {
	    if (ihalfq < jj) {
		j = jj - ihalfq - 1;
		t1 = (f2lf + (f21 * log(twa1 + (xlegq[j] * ulen))))
		    - (((xlegq[j] * ulen) + twa1) * ff4);
	    } else {
		j = jj - 1;
		t1 = (f2lf + (f21 * log(twa1 - (xlegq[j] * ulen))))
		    + (((xlegq[j] * ulen) - twa1) * ff4);

	    }

	    /* if exp(t1) < 9e-14, then doesn't contribute to integral */
	    if (t1 >= eps1) {
		if (ihalfq < jj) {
		    qsqz = q * sqrt(((xlegq[j] * ulen) + twa1) * 0.5);
		} else {
		    qsqz = q * sqrt(((-(xlegq[j] * ulen)) + twa1) * 0.5);
		}

		/* call wprob to find integral of range portion */

		wprb = wprob(qsqz, rr, cc);
		rotsum = (wprb * alegq[j]) * exp(t1);
		otsum += rotsum;
	    }
	    /* end legendre integral for interval i */
	    /* L200: */
	}

	/* if integral for interval i < 1e-14, then stop.
	 * However, in order to avoid small area under left tail,
	 * at least  1 / ulen  intervals are calculated.
	 */
	if (i * ulen >= 1.0 && otsum <= eps2)
	    break;

	/* end of interval i */
	/* L330: */

	ans += otsum;
    }

    if(otsum > eps2) { /* not converged */
	ML_ERROR(ME_PRECISION, "ptukey");
    }
    if (ans > 1.)
	ans = 1.;
    return R_DT_val(ans);
}