Chisquare: The (non-central) Chi-Squared Distribution

Description

Density, distribution function, quantile function and random generation for the chi-squared ($\chi^2$) distribution with df degrees of freedom and optional non-centrality parameter ncp.

Usage

dchisq(x, df, ncp = 0, log = FALSE)
pchisq(q, df, ncp = 0, lower.tail = TRUE, log.p = FALSE)
qchisq(p, df, ncp = 0, lower.tail = TRUE, log.p = FALSE)
rchisq(n, df, ncp = 0)

Arguments

x, q

vector of quantiles.

vector of probabilities.

number of observations. If length(n) > 1, the length is taken to be the number required.

degrees of freedom (non-negative, but can be non-integer).

ncp

non-centrality parameter (non-negative).

log, log.p

logical; if TRUE, probabilities p are given as log(p).

lower.tail

logical; if TRUE (default), probabilities are $P[X \le x]$, otherwise, $P[X > x]$.

Value

dchisq gives the density, pchisq gives the distribution function, qchisq gives the quantile function, and rchisq generates random deviates.

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

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

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

Details

The chi-squared distribution with df$= n \ge 0$ degrees of freedom has density $$f_n(x) = \frac{1}{{2}^{n/2} \Gamma (n/2)} {x}^{n/2-1} {e}^{-x/2}$$ for $x > 0$. The mean and variance are $n$ and $2n$.

The non-central chi-squared distribution with df$= n$ degrees of freedom and non-centrality parameter ncp $= \lambda$ has density $$ f(x) = e^{-\lambda / 2} \sum_{r=0}^\infty \frac{(\lambda/2)^r}{r!}\, f_{n + 2r}(x)$$ for $x \ge 0$. For integer $n$, this is the distribution of the sum of squares of $n$ normals each with variance one, $\lambda$ being the sum of squares of the normal means; further,

$E(X) = n + \lambda$, $Var(X) = 2(n + 2*\lambda)$, and $E((X - E(X))^3) = 8(n + 3*\lambda)$.

Note that the degrees of freedom df$= n$, can be non-integer, and also $n = 0$ which is relevant for non-centrality $\lambda > 0$, see Johnson et al (1995, chapter 29). In that (noncentral, zero df) case, the distribution is a mixture of a point mass at $x = 0$ (of size pchisq(0, df=0, ncp=ncp)) and a continuous part, and dchisq() is not a density with respect to that mixture measure but rather the limit of the density for $df \to 0$.

Note that ncp values larger than about 1e5 may give inaccurate results with many warnings for pchisq and qchisq.

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, chapters 18 (volume 1) and 29 (volume 2). Wiley, New York.

Examples

Run this code

# NOT RUN {
require(graphics)

dchisq(1, df = 1:3)
pchisq(1, df =  3)
pchisq(1, df =  3, ncp = 0:4)  # includes the above

x <- 1:10
## Chi-squared(df = 2) is a special exponential distribution
all.equal(dchisq(x, df = 2), dexp(x, 1/2))
all.equal(pchisq(x, df = 2), pexp(x, 1/2))

## non-central RNG -- df = 0 with ncp > 0:  Z0 has point mass at 0!
Z0 <- rchisq(100, df = 0, ncp = 2.)
graphics::stem(Z0)

# }
# NOT RUN {
## visual testing
## do P-P plots for 1000 points at various degrees of freedom
L <- 1.2; n <- 1000; pp <- ppoints(n)
op <- par(mfrow = c(3,3), mar = c(3,3,1,1)+.1, mgp = c(1.5,.6,0),
          oma = c(0,0,3,0))
for(df in 2^(4*rnorm(9))) {
  plot(pp, sort(pchisq(rr <- rchisq(n, df = df, ncp = L), df = df, ncp = L)),
       ylab = "pchisq(rchisq(.),.)", pch = ".")
  mtext(paste("df = ", formatC(df, digits = 4)), line =  -2, adj = 0.05)
  abline(0, 1, col = 2)
}
mtext(expression("P-P plots : Noncentral  "*
                 chi^2 *"(n=1000, df=X, ncp= 1.2)"),
      cex = 1.5, font = 2, outer = TRUE)
par(op)
# }
# NOT RUN {
## "analytical" test
lam <- seq(0, 100, by = .25)
p00 <- pchisq(0,      df = 0, ncp = lam)
p.0 <- pchisq(1e-300, df = 0, ncp = lam)
stopifnot(all.equal(p00, exp(-lam/2)),
          all.equal(p.0, exp(-lam/2)))
# }

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