Arnaldur Gylfason wrote:
A few results need comment. ->t quantile max diff: 4.07907e-14 ->t quantile max rel diff: inf Here division by 0 gives inf. max diff is quite acceptable though. Some guards should be placed to handle 0 or near 0 but I haven't done it. I'm not worried about the accuracy but anyone may feel free to remedy this. ->cauchy quantile max diff: 2.17426e-12 ->cauchy quantile max rel diff: 0.104537 Here we are almost surely again dividing by something near 0. Similar comments as above apply.
If you can give me the specific input that causes the difference, we can use functions.wolfram.com to check who's right.
->lgamma max diff: 1.13687e-13 ->lgamma max rel diff: 0.211576 Same old story
Again can you provide the specific values so we can double check?
R t quantile: 12.88 boost::math t quantile: 56.15 R F pdf: 0.06 boost::math F pdf: 0.05 R F cdf: 0.07 boost::math F cdf: 0.85 R F quantile: 18.59 boost::math F quantile: 54.54
The results vary somewhat but this would be acceptable for my applications. quantile functions seem to be somewhat slower in boost::math than in R. Maybe they're more accurate. More detailed analysis would be called for if people are concerned about this.
The longer times are being taken on functions that require the incomplete beta to be inverted. It's possible to do *much* better if you only need a couple of digits precision, but what approach R takes I don't know.
The 2 test programs are attached to this message. If they're somehow scrambled, anyone can write to me and ask for them.
Last but certainly not the least, my compliments to the authors of boost::math ;-)
On behalf of all of us, many thanks! John.