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Opened 5 years ago

Closed 5 years ago

#7259 closed Feature Requests (fixed)

Boost.Math non-central t distribution does not permit infinite degrees of freedom

Reported by: pbristow Owned by: pbristow
Milestone: To Be Determined Component: math
Version: Boost 1.52.0 Severity: Optimization
Keywords: math non-central students t distribution Cc:

Description

st.Math non-central t distribution does not permit infinite degrees of freedom (unlike the Central Student's t).

Requested by Thomas Mang.

This has now been added, and in the process some improvement in the accuracy and speed at higher degrees of freedom (nu)and big non-centrality (delta) (by using the faster and more accurate Student's t distribution or Normal distribution where appropriate).

After discussion with Thomas Mang and John Maddock, by examination of a Cornish Fisher expansion, the cross-over point has been selected as

if( delta / (4 * nu)) < epsilon<FPT>)

use Students t.

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comment:1 Changed 5 years ago by pbristow

  • Resolution set to fixed
  • Status changed from new to closed

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