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From Sébastien Brisard (JIRA) <j...@apache.org>
Subject [jira] [Commented] (MATH-909) FDistribution NoBracketingException in BrentSolver
Date Mon, 26 Nov 2012 15:10:58 GMT

    [ https://issues.apache.org/jira/browse/MATH-909?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13503825#comment-13503825
] 

Sébastien Brisard commented on MATH-909:
----------------------------------------

Excellent! I'm glad CM turns out to be more accurate. Be cautious, though, since we are still
working on the incomplete beta function (MATH-738).

Just out of curiosity: I Haven't R installed on my computer. Could you check the doc for the
incomplete beta function, and let us know on which implementation it is based?
If I remember correctly, it's slatec. I've noticed that slatec is in fact *not very accurate*
for the gamma and beta functions, so I ruled it out for MATH-738.

Patrick: are you satisfied? Can we consider this issue as solved? If that's OK with you, I
suggest we keep it open until the unit test has been implemented. Then, we will close it.
What do you think?
                
> FDistribution NoBracketingException in BrentSolver
> --------------------------------------------------
>
>                 Key: MATH-909
>                 URL: https://issues.apache.org/jira/browse/MATH-909
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.0
>            Reporter: Patrick Meyer
>   Original Estimate: 24h
>  Remaining Estimate: 24h
>
> I get an exception when running the code below. the exception is 
> {code}
> function values at endpoints do not have different signs, endpoints: [0, 1.002], values:
[-0.025, -∞]
> {code}
> The problematic code:
> {code}
> double df1 = 10675;
> double df2 = 501725;
> FDistribution fDist = new FDistribution(df1, df2);
> System.out.println(fDist.inverseCumulativeProbability(0.025));//NoBracketingException
> {code}
> However, R returns the value 0.9733505. The R code is:
> {code}
> qf(p=.025, df1=10675, df2=501725)
> {code}
> I don't know enough about the FDistribution class to know the solution to the exception,
but I thought I would report it.

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