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FDist {stats}

The F Distribution
Package: 
stats
Version: 
R 3.0.2

Description

Density, distribution function, quantile function and random generation for the F distribution with df1 and df2 degrees of freedom (and optional non-centrality parameter ncp).

Usage

df(x, df1, df2, ncp, log = FALSE)
pf(q, df1, df2, ncp, lower.tail = TRUE, log.p = FALSE)
qf(p, df1, df2, ncp, lower.tail = TRUE, log.p = FALSE)
rf(n, df1, df2, ncp)

Arguments

x, q
vector of quantiles.
p
vector of probabilities.
n
number of observations. If length(n) > 1, the length is taken to be the number required.
df1, df2
degrees of freedom. Inf is allowed.
ncp
non-centrality parameter. If omitted the central F is assumed.
log, log.p
logical; if TRUE, probabilities p are given as log(p).
lower.tail
logical; if TRUE (default), probabilities are P[X ≤ x], otherwise, P[X > x].

Details

The F distribution with df1 = n1 and df2 = n2 degrees of freedom has density for x > 0.

It is the distribution of the ratio of the mean squares of n1 and n2 independent standard normals, and hence of the ratio of two independent chi-squared variates each divided by its degrees of freedom. Since the ratio of a normal and the root mean-square of m independent normals has a Student's t_m distribution, the square of a t_m variate has a F distribution on 1 and m degrees of freedom.

The non-central F distribution is again the ratio of mean squares of independent normals of unit variance, but those in the numerator are allowed to have non-zero means and ncp is the sum of squares of the means. See Chisquare for further details on non-central distributions.

Values

df gives the density, pf gives the distribution function qf gives the quantile function, and rf generates random deviates.

Invalid arguments will result in return value NaN, with a warning.

The length of the result is determined by n for rf, and is the maximum of the lengths of the numerical parameters for the other functions.

The numerical parameters other than n are recycled to the length of the result. Only the first elements of the logical parameters are used.

References

Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) The New S Language. Wadsworth & Brooks/Cole.

Johnson, N. L., Kotz, S. and Balakrishnan, N. (1995) Continuous Univariate Distributions, volume 2, chapters 27 and 30. Wiley, New York.

Note

Supplying ncp = 0 uses the algorithm for the non-central distribution, which is not the same algorithm used if ncp is omitted. This is to give consistent behaviour in extreme cases with values of ncp very near zero.

The code for non-zero ncp is principally intended to be used for moderate values of ncp: it will not be highly accurate, especially in the tails, for large values.

See Also

Distributions for other standard distributions, including dchisq for chi-squared and dt for Student's t distributions.

Examples

## Equivalence of pt(.,nu) with pf(.^2, 1,nu):
x <- seq(0.001, 5, len = 100)
nu <- 4
stopifnot(all.equal(2*pt(x,nu) - 1, pf(x^2, 1,nu)),
          ## upper tails:
       all.equal(2*pt(x,     nu, lower=FALSE),
              pf(x^2, 1,nu, lower=FALSE)))
 
## the density of the square of a t_m is 2*dt(x, m)/(2*x)
# check this is the same as the density of F_{1,m}
all.equal(df(x^2, 1, 5), dt(x, 5)/x)
 
## Identity:  qf(2*p - 1, 1, df)) == qt(p, df)^2)  for  p >= 1/2
p <- seq(1/2, .99, length = 50); df <- 10
rel.err <- function(x, y) ifelse(x == y, 0, abs(x-y)/mean(abs(c(x,y))))
quantile(rel.err(qf(2*p - 1, df1 = 1, df2 = df), qt(p, df)^2), .90)  # ~= 7e-9

Documentation reproduced from R 3.0.2. License: GPL-2.