ROSALI-SIM/Modules/ado/plus/n/nct.hlp

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help for ^nct^
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Non-central t programs
----------------------

   ^nctprob^ t' delta df     /* yields p

   ^nctinv^  p delta df      /* yields t'

   ^nctncp^  t' p df         /* yields delta

   ^nctn^    t' delta p      /* yields df + 1

   ^nct2^    t' delta df     /* yields two-sided p

   ^nct2inv^ p delta df      /* yields two-sided t'

where

   ^t'^    is the observed t-value
   ^delta^ is the noncentrality parameter
   ^df^    is the degrees of freedom (^df^ is a positive integer)
   ^p^     is the probability (0 < ^p^ < 1)

For each program, entering the program name with no parameters displays 
the command syntax.


Description
-----------

Let Y and Z be independent random variables, where

      Z ~ N(delta,1) (Z is distributed Normal with mean delta and variance 1)
      Y ~ ChiSq(n)   (Y is distributed chi-square with degrees of freedom n).

Then, X = Z / sqrt(Y/n) is said to have a noncentral t distribution with 
noncentrality delta and degrees of freedom n.  

That is, X ~ t(delta, n).


^nct^xxxx is a family of immediate programs, all related to the noncentral t
distribution.  Each one-sided program computes a missing parameter, given 
the other parameters, such that P(t<=^t'^| ^delta^, ^df^) = ^p^.  

  for | use
------+--------------------------------------------------------
    ^p^ | ^nctprob^ -- Cumulative non-central t probabilities
   ^t'^ | ^nctinv^  -- Inverse cumulative non-central t values
^delta^ | ^nctncp^  -- Noncentrality parameter of the non-central t
   ^df^ | ^nctn^    -- Sample size for the cumulative non-central t

There are also two programs that yield two-sided values from a noncentral t, 
defined such that P(|t|<=^t'^| ^delta^, ^df^) = 1 - ^p^.

  for | use
------+--------------------------------------------------------
    ^p^ | ^nct2^    -- 2-sided non-central t probabilities
   ^t'^ | ^nct2inv^ -- Inverse 2-sided non-central t values

The core program, ^nctprob^, computes probabilities from the cumulative 
non-central t distribution from negative infinity to ^t'^ for noncentrality 
parameter, ^delta^, and positive, integer degrees of freedom, ^df^. 
That is, ^nctprob^ computes ^p^ such that P(t<=^t'^| ^delta^, ^df^) = ^p^.

Each program prints its computed value and returns it in global ^S_1^ and in
a result ^r()^.  The value computed and the name of the returned parameter
for each program are:

^nctprob^ -- ^r(p)^     -- the probability p
^nctinv^  -- ^r(t)^     -- the critical t' 
^nctncp^  -- ^r(delta)^ -- the noncentrality parameter delta
^nctn^    -- ^r(n)^     -- the minimum n
^nct2^    -- ^r(p)^     -- the two-sided tail probability
^nct2inv^ -- ^r(t)^     -- the two-sided critical t'

^nctn^ computes the minimum ^n^ such that, for ^df^ = ^n^ - 1,
    when ^p^ < 0.5,     P(t<=^t'^|^delta^, ^df^) <= ^p^, and 
    when ^p^ > 0.5, 1 - P(t<=^t'^|^delta^, ^df^) <= ^p^.

Warning: Convergence time for ^nctn^ is a function of the computed minimum 
^n^ and increases greatly when that ^n^ gets large.  Because the limit of
the noncentral t (as n gets large) is the noncentral z, a comparison
of the desired probability ^p^ to P(z < ^t'^ - ^delta^) is informative.
If these values are within .005 of each other, convergence time will
be noticably non-negligible.


Notes
-----

These programs call ^integ^.  The user is cautioned that the initial 
Stata 6.0 release of ^integ^ (version 3.0.4) has a bug.  Please install 
version 3.0.5 or later.

Some of these programs require installation of programs ^ridder^ 
(see STB-24, insert ssi5.4 for ^ridder^).


Author
------

Thomas J. Steichen <steicht@@rjrt.com>


Examples
--------

 . ^nctprob 3.6 3.0 11^    > gives p for t' = 3.6, delta = 3.0, df = 11

 . ^nctinv .95 2.0 17^     > gives t' for p = .95, delta = 2.0, df = 17

 . ^nctncp 4.045 .95 17^   > gives delta for t' = 4.045, p = .95, df = 17

 . ^nctinv 4 2 .95^        > gives n for t' = 4, delta = 2, p = .95

 . ^nct2 3.1 2.0 17^       > gives p for |t'| = 3.1, delta = 2.0, df = 17 

 . ^nct2inv .05 2.0 17^    > gives |t'| for p = .05, delta = 2.0, df = 17

 . ^nctprob^               > displays the command syntax