pgamma.deriv: Derivatives of the regularized incomplete gamma function
Description
Computes the incomplete gamma function and its first and second derivatives with
respect to 'shape' parameter.
Usage
pgamma.deriv(x, shape, scale, deriv = 0:2)
Arguments
x
a numeric argument, x > 0.
shape, scale
shape and scale parameters, must be positive.
deriv
integer vector, order of the required derivatives.
Value
Function pgamma.deriv returns the value, first and second derivatives of
the regularized incomplete gamma gamma function with respect to 'shape' parameter.
Details
The regularized (standard) incomplete gamma function is given by
$$P(a, x) = \frac{1}{\Gamma(a)} \int_0^x t^{a - 1}\,e^{-t}\,dt,$$
which is related with the CDF of Gamma distribution (see pgamma).
pgamma.deriv is a C translation of the original Fortran AS 187 subroutine
by R.J. Moore.
References
Abramowitz, M., and Stegun, I.A. (1970).
Handbook of Mathematical Functions.
Dover, New York.
Moore, R.J. (1982).
Algorithm AS 187: Derivatives of the incomplete gamma integral.
Applied Statistics31, 330-335.