probfun.f [docs/17c/peakfqSA-jfe-distrib/src] Revision: default Date:
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C SET OF SUBROUTINES TO DEAL WITH PROBABILITY FUNCTIONS
C
C COPYRIGHT, TIMOTHY A. COHN, 1995
C PROPERTY OF US GOVERNMENT, GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C
C AUTHOR.......TIM COHN
C DATE.....JANUARY 5, 1995
C
C Minor modifications and additions
C by John England, USACE john.f.england@usace.army.mil
C
C modifications by John England denoted with C JFE
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C 07-SEP-2017 extended H-S routine arrays to 20000
C
C
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
CC
C N.B. IMSL SUBROUTINES ARE USED:
C DGAMMA
C DGAMDF
C DNORDF
C DNORIN
C DCHIIN
C
C N.B. CDFLIB ROUTINES ARE USED
C CDFBET
C
C ROUTINES AVAILABLE
C STANDARD NORMAL DISTRIBUTION
C FP_Z_PDF(X)
C FP_Z_PDF_LN(X)
C FP_Z_PDF_TRA(X,T)
C FP_Z_CDF(X)
C FP_Z_CDF_TRA(X,T)
C FP_Z_ICDF(P)
C FP_Z_ICDF_TRA(P,T)
C FP_Z_MOM(K)
C FP_Z_MOM_TRA(K,T)
C FP_Z_MOM_TRB(K,T)
C SP_Z(X,F,PHI,LOGPHI,A,G)
C
C 2 PARAMETER NORMAL
C FP_N2_PDF(X,PARMS)
C FP_N2_CDF(X,PARMS)
C FP_N2_ICDF(P,PARMS)
C
C GAMMA DISTRIBUTION
C FP_G1_ICDF(P,ALPHA)
C FP_G2_ICDF(P,PARMS) -- PARMS=(ALPHA,BETA)
C FP_G3_ICDF(P,PARMS) -- PARMS=(TAU,ALPHA,BETA)
C FP_G1_MOM_TRA(ALPHA,T,K)
C FP_G2_MOM_TRA(PARMS,T,K)
C FP_G3_MOM_TRA(PARMS,T,K)
C
C NON-CENTRAL STUDENTS T DISTRIBUTION
C FP_NCT_CDF(X,NU,DELTA)
C FP_NCT_ICDF(P,NU,DELTA)
C FP_T_CDF(T,DF,NCP) ** PROBABLY OBSOLETE
C FP_T_ICDF(P,DF,NCP) ** PROBABLY OBSOLETE
C
C BETA DISTRIBUTION
C FP_B_CDF(X,ALPHA,BETA)
C FP_B_ICDF(P,ALPHA,BETA)
C
C NAMING CONVENTIONS:
C
C 1) TYPE OF ROUTINE
C FP_ = DOUBLE PRECISION FUNCTIONS
C SP_ = SUBROUTINES
C
C 2) NEXT COMES LETTERS DEFINING THE DISTRIBUTION:
C
C Z_ = PHI(X) STANDARD NORMAL DISTRIBUTION
C N_ = N(MU,SIGMA) 2-P NORMAL DISTRIBUTION
C G1_ = GAMMA(X,ALPHA) 1-P GAMMA DISTRIBUTION
C G2_ = GAMMA(X,ALPHA,BETA) 2-P GAMMA DISTRIBUTION
C G3_ = GAMMA(X,ALPHA,BETA,TAU) 3-P GAMMA DISTRIBUTION
C
C 3) NEXT COMES FUNCTION TYPE:
C
C PDF_ = PROBABILITY DENSITY FUNCTION
C CDF_ = CUMULATIVE DENSITY FUNCTION
C ICDF_ = INVERSE CDF
C MOM_ = MOMENTS
C HAZ_ = F/(1-F)
C RAT_ = F/F
C
C 4) NEXT COMES WHETHER LOGS ARE USED
C
C LN_ = USE NATURAL LOG
C
C 5) NEXT COMES FUNCTION TYPE
C
C JAC_ = JACOBIAN (VECTOR OF FIRST DERIVATIVES WRT PARAMS)
C HESS_ = HESSIAN OF PDF (MATRIX OF SECOND DERIVATIVES WRT PARAMS)
C
C 6) NEXT COMES TRUNCATION
C
C TRA_ = DISTRIBUTION TRUNCATED ABOVE (I.E. ALL VALUES "LESS THAN")
C TRB_ = DISTRIBUTION TRUNCATED BELOW
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_Z_PDF(X)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE PDF OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
CALL SP_Z(X,F,PHI,XLNPHI,RAT,HAZ)
FP_Z_PDF = F
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_Z_CDF(X)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
CALL SP_Z(X,F,PHI,XLNPHI,RAT,HAZ)
FP_Z_CDF = PHI
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_Z_ICDF(P)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE CDF OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
FP_Z_ICDF = DNORIN(P)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_Z_MOM(K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE MOMENTS OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION RES(1000)
DATA RES/0,1,0,3,0,15,0,105,0,991*-99/
IF(K .GT. 9) THEN
DO 10 I=1,K
RES(K) = (I-1.D0)*RES(K-2)
10 CONTINUE
ENDIF
FP_Z_MOM = RES(K)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_N2_PDF(X,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE PDF OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION PARMS(2),MU,SIGMA
MU = PARMS(1)
SIGMA = PARMS(2)
Z = (X-MU)/SIGMA
CALL SP_Z(Z,F,PHI,XLNPHI,RAT,HAZ)
FP_N2_PDF = F/SIGMA
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_N2_CDF(X,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION PARMS(2),MU,SIGMA
MU = PARMS(1)
SIGMA = PARMS(2)
Z = (X-MU)/SIGMA
CALL SP_Z(Z,F,PHI,XLNPHI,RAT,HAZ)
FP_N2_CDF = PHI
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_N2_ICDF(P,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE CDF OF STANDARD NORMAL DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION PARMS(2),MU,SIGMA
MU = PARMS(1)
SIGMA = PARMS(2)
FP_N2_ICDF = MU + SIGMA * DNORIN(P)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G1_PDF(X,ALPHA)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE PDF OF 1-P GAMMA DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
IF(X .GT. 0.D0 .AND. ALPHA .GT. 0.D0) THEN
IF((ALPHA+X) .LT. 100.D0) THEN
FP_G1_PDF = X**(ALPHA-1.D0) *
1 EXP(-X)/DGAMMA(ALPHA)
ELSE
TEMP = (ALPHA-1.D0) * LOG(X) - X -
1 DLNGAM(ALPHA)
FP_G1_PDF = EXP(TEMP)
ENDIF
ELSE
FP_G1_PDF = 0.D0
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G2_PDF(X,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE PDF OF 2-P GAMMA DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(2)
ALPHA = PARMS(1)
BETA = PARMS(2)
FP_G2_PDF = FP_G1_PDF(X/BETA,ALPHA)/ABS(BETA)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_PDF(X,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE PDF OF 3-P GAMMA DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
FP_G3_PDF = FP_G2_PDF(X-TAU,PARMS(2))
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G1_CDF(X,ALPHA)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF 1-P GAMMA DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
FP_G1_CDF = DGAMDF(X,ALPHA)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G2_CDF(X,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF 2-P GAMMA DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(2)
ALPHA = PARMS(1)
BETA = PARMS(2)
IF(BETA .GT. 0.D0) THEN
FP_G2_CDF = FP_G1_CDF(X/BETA,ALPHA)
ELSE IF(BETA .LT. 0.D0) THEN
FP_G2_CDF = 1.D0 - FP_G1_CDF(X/BETA,ALPHA)
ELSE
IF(X .GT. 0.D0) THEN
FP_G2_CDF = 1.D0
ELSE
FP_G2_CDF = 0.D0
ENDIF
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_CDF(X,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF 2-P GAMMA DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
C ALPHA = PARMS(2)
C BETA = PARMS(3)
FP_G3_CDF = FP_G2_CDF(X-TAU,PARMS(2))
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G1_ICDF(P,ALPHA)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE OF GAMMA(ALPHA)
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
IF(P .GT. 0.999999999) THEN
FP_G1_ICDF = 9.D99
RETURN
ELSE IF(P .LT. 0.000000001) THEN
FP_G1_ICDF = 0.D0
RETURN
ENDIF
FP_G1_ICDF = 0.5*DCHIIN(P,2.D0*ALPHA)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C
DOUBLE PRECISION FUNCTION FP_G2_ICDF(P,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE OF GAMMA(P,ALPHA,BETA)
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(2)
ALPHA = PARMS(1)
BETA = PARMS(2)
IF(BETA .GT. 0.D0) THEN
FP_G2_ICDF = BETA * FP_G1_ICDF(P,ALPHA)
ELSE IF(BETA .LT. 0.D0) THEN
FP_G2_ICDF = BETA * FP_G1_ICDF(1.D0-P,ALPHA)
ELSE
WRITE(*,*) ' INVALID PARAMETERS; BETA = 0'
RETURN
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_ICDF(P,PARMS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE OF GAMMA(P,TAU,ALPHA,BETA)
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
C ALPHA = PARMS(2)
C BETA = PARMS(3)
FP_G3_ICDF = TAU + FP_G2_ICDF(P,PARMS(2))
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G1_MOM_TRA(ALPHA,T,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE THE EXPECTED VALUE OF THE K-TH MOMENT OF
C A 1-PARAMETER GAMMA VARIATE CENSORED ABOVE AT T
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
T1 = MAX(0.D0,T)
ANS = DGAMDF(T1,ALPHA+K)/MAX(1.D-50,DGAMDF(T1,ALPHA))
C THIS SECTION COMPUTES RATIO GAMMA(ALPHA+K)/GAMMA(ALPHA)
DO 10 J=0,K-1
ANS = ANS*(ALPHA+J)
10 CONTINUE
FP_G1_MOM_TRA = ANS
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G2_MOM_TRA(PARMS,T,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE THE EXPECTED VALUE OF THE K-TH MOMENT OF
C A 2-PARAMETER GAMMA VARIATE CENSORED ABOVE AT T
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(2)
ALPHA = PARMS(1)
BETA = PARMS(2)
IF(BETA .EQ. 0.D0) THEN
WRITE(*,*) ' INVALID PARAMETERS; BETA = 0'
RETURN
ELSE IF(BETA .GT. 0.D0) THEN
FP_G2_MOM_TRA = BETA**K * FP_G1_MOM_TRA(ALPHA,T/BETA,K)
ELSE
FP_G2_MOM_TRA = BETA**K * FP_G1_MOM_TRB(ALPHA,T/BETA,K)
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_MOM_TRA(PARMS,T,K)
C****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE KTH NON-CENTRAL MOMENT OF PEARSON TYPE III
C RANDOM VARIABLE CENSORED AT T WITH PARAMETERS PARMS
C
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
SUM = FP_G2_MOM_TRA(PARMS(2),T-TAU,K)
IF(TAU .NE. 0.D0) THEN
DO 10 J=0,K-1
SUM = SUM + CHOOSE(K,J)*TAU**(K-J)*
1 FP_G2_MOM_TRA(PARMS(2),T-TAU,J)
10 CONTINUE
ENDIF
FP_G3_MOM_TRA = SUM
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G1_MOM_TRB(ALPHA,T,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE THE EXPECTED VALUE OF THE K-TH MOMENT OF
C A 1-PARAMETER GAMMA VARIATE CENSORED BELOW AT T
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
T1 = MAX(0.D0,T)
ANS = (1.D0 - DGAMDF(T1,ALPHA+K))/
1 MAX(1.D-50, 1.D0 - DGAMDF(T1,ALPHA))
C THIS SECTION COMPUTES RATIO GAMMA(ALPHA+K)/GAMMA(ALPHA)
DO 10 J=0,K-1
ANS = ANS*(ALPHA+J)
10 CONTINUE
FP_G1_MOM_TRB = ANS
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G2_MOM_TRB(PARMS,T,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE THE EXPECTED VALUE OF THE K-TH MOMENT OF
C A 2-PARAMETER GAMMA VARIATE CENSORED ABOVE AT T
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(2)
ALPHA = PARMS(1)
BETA = PARMS(2)
IF(BETA .EQ. 0.D0) THEN
WRITE(*,*) ' INVALID PARAMETERS; BETA = 0'
RETURN
ELSE IF(BETA .GT. 0.D0) THEN
FP_G2_MOM_TRB = BETA**K * FP_G1_MOM_TRB(ALPHA,T/BETA,K)
ELSE
FP_G2_MOM_TRB = BETA**K * FP_G1_MOM_TRA(ALPHA,T/BETA,K)
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_MOM_TRB(PARMS,T,K)
C****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE KTH NON-CENTRAL MOMENT OF PEARSON TYPE III
C RANDOM VARIABLE CENSORED AT T WITH PARAMETERS PARMS
C
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
SUM = FP_G2_MOM_TRB(PARMS(2),T-TAU,K)
IF(TAU .NE. 0.D0) THEN
DO 10 J=0,K-1
SUM = SUM + CHOOSE(K,J)*TAU**(K-J)*
1 FP_G2_MOM_TRB(PARMS(2),T-TAU,J)
10 CONTINUE
ENDIF
FP_G3_MOM_TRB = SUM
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G1_MOM_TRC(ALPHA,TL,TU,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE THE EXPECTED VALUE OF THE K-TH MOMENT OF
C A 1-PARAMETER GAMMA VARIATE BETWEEN TL AND TU WITH PARAMETER ALPHA
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
C MODIFIED...DECEMBER 23, 1996 (TAC)
C MODIFIED...JULY 25, 1998 (TAC)
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
TL1 = MAX(MIN(0.D0,TU),TL)
IF(TL1 .EQ. TU) THEN
ANS = TL1**K
ELSE
DOWN = DGAMDF(TU,ALPHA) - DGAMDF(TL1,ALPHA)
IF(DOWN .GT. 0.D0) THEN
UP = DGAMDF(TU,ALPHA+K) - DGAMDF(TL1,ALPHA+K)
ANS = UP/DOWN
C THIS SECTION COMPUTES RATIO GAMMA(ALPHA+K)/GAMMA(ALPHA)
DO 10 J=0,K-1
ANS = ANS*(ALPHA+J)
10 CONTINUE
ELSE
IF(TL1 .GT. ALPHA) THEN
ANS = TL1**K
ELSE
ANS = TU**K
ENDIF
ENDIF
ENDIF
FP_G1_MOM_TRC = ANS
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G2_MOM_TRC(PARMS,TL,TU,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE THE EXPECTED VALUE OF THE K-TH MOMENT OF
C A 2-PARAMETER GAMMA VARIATE BETWEEN TL AND TU WITH PARAMETERS PARMS
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 28, 1994
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(2)
ALPHA = PARMS(1)
BETA = PARMS(2)
IF(BETA .EQ. 0.D0) THEN
WRITE(*,*) ' INVALID PARAMETERS; BETA = 0'
RETURN
ELSE IF(BETA .GT. 0.D0) THEN
FP_G2_MOM_TRC = BETA**K *
1 FP_G1_MOM_TRC(ALPHA,TL/BETA,TU/BETA,K)
ELSE
FP_G2_MOM_TRC = BETA**K *
1 FP_G1_MOM_TRC(ALPHA,TU/BETA,TL/BETA,K)
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_MOM_TRC(PARMS,TL,TU,K)
C****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE KTH NON-CENTRAL MOMENT OF PEARSON TYPE III
C RANDOM VARIABLE BETWEEN TL AND TU WITH PARAMETERS PARMS
C
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
SUM = FP_G2_MOM_TRC(PARMS(2),TL-TAU,TU-TAU,K)
IF(TAU .NE. 0.D0) THEN
DO 10 J=0,K-1
SUM = SUM + CHOOSE(K,J)*TAU**(K-J)*
1 FP_G2_MOM_TRC(PARMS(2),TL-TAU,TU-TAU,J)
10 CONTINUE
ENDIF
FP_G3_MOM_TRC = SUM
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_G3_MOM_TRCO(PARMS,X_OFF,TL,TU,K)
C****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE KTH MOMENT, CENTRALIZED AROUND X_OFF, OF PEARSON TYPE III
C RANDOM VARIABLE BETWEEN TL AND TU WITH PARAMETERS PARMS
C
C
IMPLICIT DOUBLE PRECISION (A-H,M,O-Z)
C SAVE
DIMENSION PARMS(3)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
SUM = FP_G2_MOM_TRC(PARMS(2),TL-TAU,TU-TAU,K)
IF(TAU - X_OFF .NE. 0.D0) THEN
DO 10 J=0,K-1
SUM = SUM + CHOOSE(K,J)*(TAU-X_OFF)**(K-J)*
1 FP_G2_MOM_TRC(PARMS(2),TL-TAU,TU-TAU,J)
10 CONTINUE
ENDIF
FP_G3_MOM_TRCO = SUM
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE SP_Z(XSI,F,PHI,LOGPHI,A,G)
C======================================================================
C
C SUBROUTINE TO COMPUTE GAUSSIAN FUNCTIONS AND THEIR
C DERIVATIVES, WHERE XSI IS A STANDARD NORMAL VARIATE
C
C PHI = STANDARD NORMAL CDF
C LOGPHIT = LOG(PHIT)
C AT = F/PHIT
C GT = F/(1.D0-PHIT)
C
C THE ROUTINE WORKS ACCURATELY OVER A VERY LONG RANGE, AND PROVIDES
C A 2ND ORDER CONTINUITY CORRECTION WHERE ESTIMATION METHODS CHANGE.
C
C
C AUTHOR......TIM COHN
C DATE........APRIL 1, 1987
C ERROR CORRECTED OCTOBER 4, 1992 (TAC)
C IMPROVED VERSION....DECEMBER 20, 1994
C
C======================================================================
IMPLICIT DOUBLE PRECISION (A-Z)
C SAVE
DATA LIMIT/6.5D0/,LIMITI/6.D0/,CONST/0.3989422804014327/
Z(B) = 1.D0/( SQRT(B)*(1.D0-1.D0*B*(1.D0-3.D0*B*
1 (1.D0-5.D0*B*(1.D0-7.D0*B*(1.D0-9.D0*B*
2 (1.D0-11.D0*B*(1.D0-13.D0*B*(1.D0-15.D0*B*
3 (1.D0-17.D0*B*(1.D0-19.D0*B*(1.D0-21.D0*B*
4 (1.D0-23.D0*B*(1.D0-12.5D0*B))))))))))))) )
F = CONST*EXP(-0.5*XSI**2)
IF(XSI .LT. -LIMITI) THEN
PHI = F/Z(1.D0/XSI**2)
A = Z(1.D0/XSI**2)
LOGPHI = LOG(CONST/A) - 0.5*XSI**2
G = F/(1.D0-PHI)
ELSE IF (XSI .GT. LIMITI) THEN
PHI = 1.D0 - F/Z(1.D0/XSI**2)
LOGPHI = LOG(PHI)
A = F/PHI
G = Z(1.D0/XSI**2)
ENDIF
IF(ABS(XSI) .LT. LIMIT) THEN
PHIT = DNORDF(XSI)
LOGPHIT = LOG(PHIT)
AT = F/PHIT
GT = F/(1.D0-PHIT)
IF(ABS(XSI) .GT. LIMITI) THEN
IF(ABS(XSI) .GT. LIMIT) THEN
ARG = 1.D0
ELSE
ARGT = (ABS(XSI)-(LIMIT+LIMITI)/2.D0)
1 /(LIMIT-LIMITI)
ARG = (1.D0+SIN(3.14159*ARGT))/2.D0
ENDIF
ELSE
ARG = 0.D0
ENDIF
PHI = ARG*PHI + (1.D0-ARG)*PHIT
LOGPHI = ARG*LOGPHI + (1.D0-ARG)*LOGPHIT
A = ARG*A + (1.D0-ARG)*AT
G = ARG*G + (1.D0-ARG)*GT
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION CHOOSE(N,K)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE COMBINATORIAL CHOOSE FUNCTION
C
C / N \
C \ K /
C
C N.B. N AND K MUST BE INTEGERS; CHOOSE IS DOUBLE PRECISION
C
C AUTHOR.....TIM COHN
C DATE.......DECEMBER 21, 1994
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
INTEGER N,K,TAB1(0:12,0:12)
DATA TAB1/
* 1, 12*0,
* 1,1, 11*0,
* 1,2,1, 10*0,
* 1,3,3,1, 9*0,
* 1,4,6,4,1, 8*0,
* 1,5,10,10,5,1, 7*0,
* 1,6,15,20,15,6,1, 6*0,
* 1,7,21,35,35,21,7,1, 5*0,
* 1,8,28,56,70,56,28,8,1, 4*0,
* 1,9,36,84,126,126,84,36,9,1, 3*0,
* 1,10,45,120,210,252,210,120,45,10,1, 2*0,
* 1,11,55,165,330,462,462,330,165,55,11,1, 1*0,
* 1,12,66,220,495,792,924,792,495,220,66,12,1 /
IF(N .LT. MAX(0,K) .OR. K .LT. 0) THEN
WRITE(*,*) ' ERROR IN CHOOSE: (N,K) ',N,K
STOP
ENDIF
IF(N .LE. 12) THEN
CHOOSE = TAB1(K,N)
ELSE IF(N .LT. 170.D0) THEN
CHOOSE = DFAC(N)/(DFAC(N-K)*DFAC(K))
ELSE
ARG = DLNGAM(N+1.D0)-DLNGAM(N-K+1.D0)-
1 DLNGAM(K+1.D0)
IF(ARG .LT. 500.D0) THEN
CHOOSE = EXP(ARG)
ELSE
CHOOSE = -99.D0
ENDIF
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE SP_G1_CDF_HESS(X,ALPHA_IN,GRAD,HESS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE HESSIAN AND GRADIENT OF 1-P GAMMA D''N
C
C AUTHOR.....TIM COHN
C DATE.......JANUARY 30, 1995
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C ORDER OF PARAMETERS IS (X, ALPHA)
C
C GRAD(1) = D_F/D_X
C GRAD(2) = D_F/D_ALPHA
C
C HESS(1,1) = D2_F/D_X2
C HESS(1,2) = HESS(2,1) = D2_F/D_X D_ALPHA
C HESS(2,2) = D2_F/D_ALPHA2
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
EXTERNAL FCNGAM
DIMENSION GRAD(2),HESS(2,2)
COMMON /TACGAM001/ALPHA,M
DATA ERRABS/0.D0/,ERREL/1.D-5/
ALPHA = ALPHA_IN
P = FP_G1_CDF(X,ALPHA)
FPDF = FP_G1_PDF(X,ALPHA)
GRAD(1) = FPDF
HESS(1,1) = FPDF * ( (ALPHA-1.D0)/X - 1.D0)
HESS(1,2) = FPDF * ( LOG(X) - DPSI(ALPHA) )
HESS(2,1) = HESS(1,2)
C
M = 1
CALL DQDAGS(FCNGAM,0.D0,P, ERRABS,ERREL,FP,ERREST)
CALL DQDAGS(FCNGAM,0.D0,1.D0,ERRABS,ERREL,GP,ERREST)
M = 2
CALL DQDAGS(FCNGAM,0.D0,P, ERRABS,ERREL,FPP,ERREST)
CALL DQDAGS(FCNGAM,0.D0,1.D0,ERRABS,ERREL,GPP,ERREST)
C
C
C N.B. P IS F
C BECAUSE G = 1.D0
C D1 = FP*G - GP*P
C D2 = ( ( (FPP * G + GP * FP) ) * G**2 - 2 * G * GP * (FP*G - GP*P) )/G**4
C
GRAD(2) = FP - GP*P
HESS(2,2) = ( ( (FPP + GP * FP) - (GPP * P + GP * FP) )
1 - 2 * GP * (FP - GP*P) )
RETURN
END
C
DOUBLE PRECISION FUNCTION FCNGAM(P)
C SAVE
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
COMMON /TACGAM001/ALPHA,M
X = FP_G1_ICDF(P,ALPHA)
FCNGAM = LOG(X)**M
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION SIGN1(ARG)
C****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C
DOUBLE PRECISION ARG
C SAVE
IF(ARG .LT. 0.D0) THEN
SIGN1 = -1.D0
ELSE
SIGN1 = 1.D0
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE SP_G1_CDF_LN_HESS(X,ALPHA,GRAD,HESS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE HESSIAN AND GRADIENT OF LOGARITHM OF 1-P GAMMA D''N
C
C AUTHOR.....TIM COHN
C DATE.......MARCH 1, 1995
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C ORDER OF PARAMETERS IS (X, ALPHA)
C
C GRAD(1) = D_LOG(F)/D_X
C GRAD(2) = D_LOG(F)/D_ALPHA
C
C HESS(1,1) = D2_LOG(F)/D_X2
C HESS(1,2) = HESS(2,1) = D2_LOG(F)/D_X D_ALPHA
C HESS(2,2) = D2_LOG(F)/D_ALPHA2
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION GRAD(2),HESS(2,2),G1(2),H2(2,2)
F = FP_G1_CDF(X,ALPHA)
IF(F .GT. 0.D0) THEN
CALL SP_G1_CDF_HESS(X,ALPHA,G1,H2)
DO 10 I=1,2
GRAD(I) = G1(I)/F
DO 10 J=1,2
HESS(I,J) = ( H2(I,J)*F - G1(I)*G1(J) )/F**2
10 CONTINUE
ELSE
DO 20 I=1,2
GRAD(I) = 0.D0
DO 20 J=1,2
HESS(I,J) = 0.D0
20 CONTINUE
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE SP_G3_CDF_LN_HESS(X,PARMS,GRAD,HESS)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE HESSIAN AND GRADIENT OF LOGARITHM OF 3-P GAMMA D''N
C
C AUTHOR.....TIM COHN
C DATE.......MARCH 1, 1995
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C ORDER OF PARAMETERS IS (TAU, ALPHA, BETA)
C HESS IS A SYMMETRIC MATRIX
C
C GRAD(1) = D_LOG(F)/D_TAU
C GRAD(2) = D_LOG(F)/D_ALPHA
C GRAD(3) = D_LOG(F)/D_BETA
C
C HESS(1,1) = D2_LOG(F)/D_TAU^2
C HESS(1,2) = D2_LOG(F)/D_TAU D_ALPHA
C HESS(1,3) = D2_LOG(F)/D_TAU D_BETA
C HESS(2,2) = D2_LOG(F)/D_ALPHA^2
C HESS(2,3) = D2_LOG(F)/D_ALPHA D_BETA
C HESS(3,3) = D2_LOG(F)/D_BETA^2
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DIMENSION PARMS(3),GRAD(3),HESS(3,3),G1(2),H2(2,2)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
Y = (X-TAU)/BETA
CALL SP_G1_CDF_LN_HESS(Y,ALPHA,G1,H2)
GRAD(1) = G1(1) * (-1.D0/BETA)
GRAD(2) = G1(2)
GRAD(3) = G1(1) * (-Y/BETA)
HESS(1,1) = H2(1,1) * (1.D0/BETA**2)
HESS(1,2) = H2(1,2) * (-1.D0/BETA)
HESS(1,3) = H2(1,1) * (Y/BETA**2) + G1(1) *
1 (1.D0/BETA**2)
HESS(2,2) = H2(2,2)
HESS(2,3) = H2(1,2) * (-Y/BETA)
HESS(3,3) = H2(1,1) * (-Y/BETA)**2 + G1(1) *
1 (2*Y/BETA**2)
DO 10 I=1,3
DO 10 J=I+1,3
HESS(J,I) = HESS(I,J)
10 CONTINUE
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE DPDM(PARMS,JACT)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE JACOBIAN DP/DM TRANSFORMATION CONVERTING
C PEARSON TYPE 3 NON-CENTRAL MOMENTS (M1,M2,M3)
C INTO PARAMETERS (TAU,ALPHA,BETA)
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 10, 1999
C
C N.B. JAC IS COMPUTED; JACT = TRANSPOSE(JAC) IS RETURNED
C
C JAC(1,1) = DT/DM1
C JAC(1,2) = DA/DM1
C JAC(1,3) = DB/DM1
C
C JAC(2,1) = DT/DM2
C JAC(2,2) = DA/DM2
C JAC(2,3) = DB/DM2
C
C JAC(3,1) = DT/DM3
C JAC(3,2) = DA/DM3
C JAC(3,3) = DB/DM3
C
C N.B.: THIS CODE APPEARS TO HANDLE ALL CASES CORRECTLY (TAC 4/10/99)
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION PARMS(3),M(3),M1,M2,M3,S,A,B,D,T
DOUBLE PRECISION JAC(3,3),JACT(3,3)
CALL P2MN(PARMS,M)
M1 = M(1)
M2 = M(2)
M3 = M(3)
C V IS THE VARIANCE
V = M2 - M1**2
DVDM1 = -2.D0*M1
DVDM2 = 1.D0
DVDM3 = 0.D0
C S IS THE SKEW
S = M3 - 3.D0*M2*M1 + 2.D0*M1**3
DSDM1 = -3.D0*M2 + 6.D0*M1**2
DSDM2 = -3.D0*M1
DSDM3 = 1.D0
C A IS THE PARAMETER
A = 4.D0*(V**3)/S**2
DADM1 = 4.D0*(3.D0*V**2*DVDM1 * S**2 - 2*S*DSDM1*V**3)/S**4
DADM2 = 4.D0*(3.D0*V**2*DVDM2 * S**2 - 2*S*DSDM2*V**3)/S**4
DADM3 = 4.D0*(3.D0*V**2*DVDM3 * S**2 - 2*S*DSDM3*V**3)/S**4
C D IS B**2
D = V/A
DDDM1 = (DVDM1*A-DADM1*V)/A**2
DDDM2 = (DVDM2*A-DADM2*V)/A**2
DDDM3 = (DVDM3*A-DADM3*V)/A**2
C B IS SIGN(S)*SQRT(D)
B = SIGN(1.D0,S)*SQRT(D)
DBDM1 = 0.5*DDDM1/B
DBDM2 = 0.5*DDDM2/B
DBDM3 = 0.5*DDDM3/B
C T
T = M1 - A*B
DTDM1 = 1.D0 - (DADM1*B + A*DBDM1)
DTDM2 = - (DADM2*B + A*DBDM2)
DTDM3 = - (DADM3*B + A*DBDM3)
JAC(1,1) = DTDM1
JAC(1,2) = DADM1
JAC(1,3) = DBDM1
JAC(2,1) = DTDM2
JAC(2,2) = DADM2
JAC(2,3) = DBDM2
JAC(3,1) = DTDM3
JAC(3,2) = DADM3
JAC(3,3) = DBDM3
DO 10 I=1,3
DO 10 J=1,3
JACT(I,J) = JAC(J,I)
10 CONTINUE
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
SUBROUTINE P2M(P,M)
C SAVE
IMPLICIT NONE
DOUBLE PRECISION P(3),M(3),T,A,B
T=P(1)
A=P(2)
B=P(3)
M(1) = A*B + T
M(2) = A*B**2
M(3) = 2.D0/SQRT(A)
IF(B .LT. 0.D0) M(3) = -M(3)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
SUBROUTINE M2P(M,P)
IMPLICIT NONE
C SAVE
DOUBLE PRECISION P(3),A,B,T,M(3),M1,M2,M3
M1=M(1)
M2=M(2)
M3=M(3)
A = 4.D0/M3**2
B = SQRT(M2/A)
IF(M3 .LT. 0.D0) B=-B
T = M1 - A*B
P(1) = T
P(2) = A
P(3) = B
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
SUBROUTINE P2MN(P,M)
C SAVE
IMPLICIT NONE
DOUBLE PRECISION P(3),M(3),T,A,B
T=P(1)
A=P(2)
B=P(3)
M(1) = A*B + T
M(2) = A*(1 + A)*B**2 + 2*A*B*T + T**2
M(3) = A*(1 + A)*(2 + A)*B**3 + 3*A*(1 + A)*B**2*T +
1 3*A*B*T**2 + T**3
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
SUBROUTINE MN2P(M,P)
IMPLICIT NONE
C SAVE
DOUBLE PRECISION P(3),M(3),M1,M2,M3
M1=M(1)
M2=M(2)
M3=M(3)
P(1) = (M1**2*M2 - 2*M2**2 + M1*M3)/(2*M1**3 - 3*M1*M2 + M3)
P(2) = -4*(M1**2 - M2)**3/(2*M1**3 - 3*M1*M2 + M3)**2
P(3) = (2*M1**3 - 3*M1*M2 + M3)/(-2*M1**2 + 2*M2)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
SUBROUTINE M2MN(M,MN)
C SAVE
IMPLICIT NONE
DOUBLE PRECISION M(3),MN(3)
MN(1) = M(1)
MN(2) = M(2)+M(1)**2
MN(3) = M(3)*M(2)**1.5 + 3.D0*MN(2)*M(1) - 2.D0 * M(1)**3
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
SUBROUTINE MN2M(MN,M)
C SAVE
IMPLICIT NONE
DOUBLE PRECISION M(3),MN(3)
M(1) = MN(1)
M(2) = MN(2)-MN(1)**2
M(3) = (MN(3) - 3.D0*MN(2)*MN(1) + 2.D0 * MN(1)**3)
1 /M(2)**1.5
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION D_G1_INV(PQ,ALPHA)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE DERIVATIVE WRT ALPHA OF 1-PARAMETER GAMMA QUANTILE
C FUNCTION
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 10, 1999
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PQ = QUANTILE TO BE ESTIMATED
C ALPHA = PARAMETER OF G1 DISTRIBUTION
C
C N.B. DDGAM IS CONTAINED IN VARMOM SUBROUTINE FILE
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION PQ,Q1P,ALPHA
Q1P = FP_G1_ICDF(PQ,ALPHA)
D_G1_INV = -DDGAM(ALPHA,Q1P)/FP_G1_PDF(Q1P,ALPHA)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE EXPMOMDERIV(PARMS,XMIN,XMAX,JAC)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE DERIVATIVE OF EXPECTED VALUE OF
C MOMENTS OF GAMMA VARIATE TRUNCATED BETWEEN XMIN AND XMAX
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 10, 1999
C
C REQUIRES FUNCTIONS FOR LOG-GAMMA AND PSI
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION
1 PARMS(3),XMIN,XMAX,JAC(3,3),
2 JAC1(3,3),JAC2(3,3),ALPHA,BETA,TAU,M(3)
TAU = PARMS(1)
ALPHA = PARMS(2)
BETA = PARMS(3)
CALL DEXPECT(TAU,ALPHA,BETA,XMIN,XMAX,M,JAC1)
CALL DPDM(PARMS,JAC2)
CALL DMRRRR(3,3,JAC1,3,3,3,JAC2,3,3,3,JAC,3)
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION DDGAM(ALPHA,X)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE DERIVATIVE OF INCOMPLETE GAMMA FUNCTION
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 9, 1999
C
C REQUIRES FUNCTIONS FOR LOG-GAMMA AND PSI
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION I,TOL,LOGX,SUM
DATA TOL/1.D-11/
IF(ALPHA .LE. 0.D0 .OR. X .LE. 0.D0) THEN
RESULT = 0.D0
GOTO 100
END IF
IF(ABS(X-ALPHA)/SQRT(ALPHA+1.D0) .GT. 7.D0) THEN
RESULT = 0.D0
GOTO 100
END IF
A = ALPHA
LOGX = LOG(X)
C
IF(X .LT. 5.D0) THEN
T = X**A
R = (A*LOGX-1.D0)/A**2
SUM = T*R
DO 10 I2=1,1000
I = I2
AI = A+I
T = -T*X/I
R = (AI*LOGX-1.D0)/AI**2
DEL = R*T
SUM = SUM + DEL
IF(I .GT. 1 .AND. ABS(DEL) .LT. (1.D0+ABS(SUM))*TOL) THEN
RESULT = SUM/EXP(DGAMLN(A,IERR)) - DPSI(A)*FP_G1_CDF(X,A)
GOTO 100
ENDIF
10 CONTINUE
GOTO 99
C
ELSE IF(X .GT. A+30.D0) THEN
T = EXP(-X + (A-1.D0)*LOGX - DGAMLN(A,IERR) )
R = LOGX - DPSI(A)
SUM = R*T
DO 20 I2=1,INT(A-1.D0)
I = I2
AMI = A-I
T = T*(AMI)/X
R = LOGX - DPSI(AMI)
DEL = R*T
SUM = SUM + DEL
IF(I .GT. 1 .AND. ABS(DEL) .LT. (1.D0+ABS(SUM))*TOL) THEN
RESULT = -SUM
GOTO 100
ENDIF
20 CONTINUE
GOTO 99
C
ELSE
T = EXP(-X + A*LOGX - DGAMLN(A+1.D0,IERR) )
R = LOGX - DPSI(A+1.D0)
SUM = R*T
DO 30 I2=1,10000
I = I2
T = T*X/(A+I)
R = LOGX - DPSI(A+I+1.D0)
DEL = R*T
SUM = SUM + DEL
IF(I .GT. 1 .AND. ABS(DEL) .LT. (1.D0+ABS(SUM))*TOL) THEN
RESULT = SUM
GOTO 100
ENDIF
30 CONTINUE
GOTO 99
ENDIF
C
100 CONTINUE
DDGAM = RESULT
RETURN
99 CONTINUE
WRITE(*,*) 'SOMETHING BAD (DDGAM).....'
WRITE(*,*) 'Contact Tim Cohn (703/648-5711).....'
WRITE(*,*) 'tacohn@usgs.gov.....'
WRITE(*,*) 'ALPHA: ',ALPHA
WRITE(*,*) 'X: ',X
READ(*,*)
STOP
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE DEXPECT(TAU,ALPHA,BETA,TL,TU,M3,DM3)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE DERIVATIVE OF INCOMPLETE GAMMA FUNCTION
C TRUNCATED BELOW AT TL AND ABOVE AT TU, WITH PARMS TAU, ALPHA, BETA
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 9, 1999
C
C REQUIRES FUNCTIONS FOR LOG-GAMMA AND PSI
C
C NOTE RETURN VARIABLES:
C M3[J] CONTAINS E[X^J]
C DM3[J,K] CONTAINS D[ E[X^J] ]/P[K]
C
C DM3[1,1] = D[ E[X] ]/D_TAU
C DM3[1,2] = D[ E[X] ]/D_ALPHA
C DM3[1,3] = D[ E[X] ]/D_BETA
C
C DM3[2,1] = D[ E[X^2] ]/D_TAU
C DM3[2,2] = D[ E[X^2] ]/D_ALPHA
C DM3[2,3] = D[ E[X^2] ]/D_BETA
C
C DM3[3,1] = D[ E[X^3] ]/D_TAU
C DM3[3,2] = D[ E[X^3] ]/D_ALPHA
C DM3[3,3] = D[ E[X^3] ]/D_BETA
C
C WHERE P[1] = TAU, P[2] = ALPHA, P[3] = BETA
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
C SAVE
DOUBLE PRECISION
1 ALPHA,BETA,TAU,TL,TU,
2 DG1(0:3),G1(0:3),
3 ADJ(0:3),DADJ(0:3),B(0:3),DB(0:3),
4 M1(3),DM1(0:3,3),M2(3),DM2(3,3),M3(3),DM3(3,3),
5 LSTDL,LSTDU,FU(0:3),FL(0:3)
C
C RETURN IF THE RESULTS DO NOT DEPEND ON THE PARAMETERS
C
IF(TU .LE. TL) GOTO 99
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C STANDARDIZE THE THRESHOLDS; COMPUTE DERIVATIVES
C
IF(BETA .GT. 0.D0) THEN
STDL = MAX(0.D0,(TL-TAU)/BETA)
STDU = (TU-TAU)/BETA
ELSE IF(BETA .LT. 0.D0) THEN
STDL = MAX(0.D0,(TU-TAU)/BETA)
STDU = (TL-TAU)/BETA
ELSE IF(BETA .EQ. 0.D0) THEN
GOTO 99
ENDIF
LSTDL = LOG(MAX(1.D-99,STDL))
LSTDU = LOG(MAX(1.D-99,STDU))
DSTDLT = -1.D0/BETA
DSTDUT = -1.D0/BETA
DSTDLB = -STDL/BETA
DSTDUB = -STDU/BETA
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C 1. FIRST FOR THE ONE-PARAMETER GAMMA (ASSUME TAU=0; BETA=1)
C -- NOTE THE FOLLOWING:
C E[X^P] = GAMMA[ALPHA+P,TL,TU] / GAMMA[ALPHA,TL,TU]
C = ADJ[P]*B[P]
C ADJ[P] = GAMMA[ALPHA+P]/GAMMA[ALPHA]
C B[P] = GCDF[ALPHA+P,TL,TU] / GCDF[ALPHA,TL,TU]
C GCDF[ALPHA,TL,TU] = GAMMA[ALPHA,TL,TU]/GAMMA[ALPHA,0,INF]
C
C
C 1.A FIRST COMPUTE THE ADJUSTMENT FACTOR
C
ADJ(0) = 1.D0
DADJ(0) = 0.D0
DO 40 J=1,3
ADJ(J) = (ALPHA+J-1.D0) * ADJ(J-1)
DADJ(J) = ADJ(J-1) + (ALPHA+J-1.D0) * DADJ(J-1)
40 CONTINUE
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C 1.B SECOND COMPUTE THE INCOMPLETE G1 CDF AND ITS DERIVATIVES
C -- NB: B(J) IS THE NORMALIZED CDF
C DB(J) IS COMPUTED FROM RATIO
C G1 CONTAINS TAU, BETA THROUGH STDL
C
DO 20 J=0,3
GU = FP_G1_CDF(STDU,ALPHA+J)
GL = FP_G1_CDF(STDL,ALPHA+J)
G1(J) = GU-GL
DG1(J) = DDGAM(ALPHA+J,STDU) - DDGAM(ALPHA+J,STDL)
B(J) = G1(J)/G1(0)
DB(J) = (DG1(J)*G1(0) - DG1(0)*G1(J))/G1(0)**2
FU(J) = FP_G1_PDF(STDU,ALPHA+J)
FL(J) = FP_G1_PDF(STDL,ALPHA+J)
DM1(J,1) = (
1 (FU(J)*DSTDUT - FL(J)*DSTDLT) * G1(0) -
2 (FU(0)*DSTDUT - FL(0)*DSTDLT) * G1(J) )/G1(0)**2
DM1(J,3) = (
1 (FU(J)*DSTDUB - FL(J)*DSTDLB) * G1(0) -
2 (FU(0)*DSTDUB - FL(0)*DSTDLB) * G1(J) )/G1(0)**2
20 CONTINUE
C
C 1.C NOW COMPUTE THE DERIVATIVE OF THE PRODUCT
C
DO 50 J=1,3
M1(J) = ADJ(J)*B(J)
DM1(J,2) = ADJ(J)*DB(J) + DADJ(J)*B(J)
DM1(J,1) = ADJ(J)*DM1(J,1)
DM1(J,3) = ADJ(J)*DM1(J,3)
50 CONTINUE
C
C
C 2. NOW GENERALIZE TO THE 2-PARAMETER GAMMA (ASSUME TAU=0)
C --NOTE THAT ORDER OF PARAMETERS IS TAU,ALPHA,BETA
C (TAC -- ANOTHER GOOFY CONVENTION); THEREFORE
C DM2(J,1) REFERS TO TAU
C DM2(J,2) REFERS TO ALPHA
C DM2(J,3) REFERS TO BETA
C
DO 60 J=1,3
M2(J) = BETA**J * M1(J)
DM2(J,1) = BETA**J * DM1(J,1)
DM2(J,2) = BETA**J * DM1(J,2)
DM2(J,3) = J * BETA**(J-1) * M1(J) + BETA**J * DM1(J,3)
60 CONTINUE
C
C
C 3. NOW GENERALIZE TO THE 3-PARAMETER GAMMA
C
C
DO 70 J=1,3
M3(J) = M2(J) + TAU**J
DM3(J,1) = J * POWER(TAU,(J-1)) + DM2(J,1)
DM3(J,2) = DM2(J,2)
DM3(J,3) = DM2(J,3)
DO 70 K=1,J-1
CH = CHOOSE(J,K)
M3(J) = M3(J) + CH*TAU**(J-K) * M2(K)
DM3(J,1) = DM3(J,1) + CH*(
1 (J-K)*POWER(TAU,(J-K-1)) * M2(K) +
2 TAU**(J-K) * DM2(K,1) )
DM3(J,2) = DM3(J,2) + CH*TAU**(J-K) * DM2(K,2)
DM3(J,3) = DM3(J,3) + CH*TAU**(J-K) * DM2(K,3)
70 CONTINUE
RETURN
C
C NON-FUNCTIONAL EXIT
C
99 CONTINUE
CALL DSET(9,0.D0,DM3,1)
CALL DSET(3,0.D0,M3,1)
RETURN
END
C
DOUBLE PRECISION FUNCTION POWER(X,I)
C SAVE
DOUBLE PRECISION X
INTEGER I
IF(X .EQ. 0.D0 .AND. I .EQ. 0) THEN
POWER = 1.D0
ELSE
POWER = X**I
ENDIF
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_TNC_CDF(TP,NU,DELTA)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE NON-CENTRAL T CDF
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 9, 1999
C
C REQUIRES FUNCTIONS FOR Z
C
C REFERENCE: APPROXIMATE FORMULA ON PAGE 949, A&S
C TNC FUNCTION IS ALGORITHM AS 243
C APPL. STATIST. (1989), VOL.38, NO. 1
C
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT NONE
C SAVE
INTEGER IFAULT
DOUBLE PRECISION TP,NU,DELTA,Z,FP_Z_CDF,TNC,ANS
IF( NU .GT. 20.D0) THEN
Z = (TP*(1.D0-1.D0/(4.D0*NU))-DELTA)/SQRT(1.D0+TP**2/(2.D0*NU))
ANS= FP_Z_CDF(Z)
ELSE
ANS= TNC(TP,NU,DELTA,IFAULT)
IF(IFAULT .NE. 0) THEN
WRITE(*,*) 'TROUBLE IN FP_TNC_CDF:TP,NU,DELTA',TP,NU,DELTA
Z = (TP*(1.D0-1.D0/(4.D0*NU))-DELTA)/SQRT(1.D0+TP**2/(2.D0*NU))
ANS= FP_Z_CDF(Z)
ENDIF
ENDIF
FP_TNC_CDF = ANS
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_TNC_ICDF_OLD(P,NU,DELTA)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE NON-CENTRAL T INVERSE CDF
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 9, 1999
C
C REQUIRES FUNCTIONS FOR Z-INVERSE
C
C REFERENCE: INVERSION OF APPROXIMATE FORMULA ON PAGE 949, A&S
C
C NOTE: THIS IS NOT VERY ACCURATE (TAC: 20 SEP 2010)
C USED TO BE CALLED FP_TNC_ICDF; NOW FP_TNC_ICDF_OLD
C FORMER FP_TNC2_ICDF NOW FP_TNC_ICDF (TAC: 20 SEP 2010)
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT NONE
C SAVE
DOUBLE PRECISION P,NU,DELTA,X,ANS,FP_Z_ICDF,FP_TNC_ICDF
IF(NU .LE. 20.D0) THEN
ANS = FP_TNC_ICDF(P,NU,DELTA)
ELSE
X = FP_Z_ICDF(P)
ANS = (4.D0*NU*(DELTA*(-1.D0 + 4.D0*NU) +
1 X*SQRT(1.D0 + 16.D0*NU**2 +
2 8.D0*NU*(-1.D0 + DELTA**2 - X**2))))/
3 (1.D0 + 16.D0*NU**2 - 8.D0*NU*(1.D0 + X**2))
ENDIF
FP_TNC_ICDF_OLD = ANS
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FP_TNC_ICDF(P_IN,NU_IN,DELTA_IN)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE NON-CENTRAL T INVERSE CDF
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 9, 1999
C
C REQUIRES FUNCTIONS FOR Z-INVERSE, GAMMA INVERSE
C
C NOTE: THIS USED TO BE LABELED FP_TNC2_ICDF (TAC: 20 SEP 2010)
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT NONE
C SAVE
INTEGER IFLAG
DOUBLE PRECISION
1 P_IN,NU_IN,DELTA_IN,
2 P,NU,DELTA,
3 AE,RE,B,C
DOUBLE PRECISION FTNCINV
EXTERNAL FTNCINV
COMMON /ZNCT02/P,NU,DELTA
DATA RE/1.D-8/,AE/1.D-8/
P = P_IN
NU = NU_IN
DELTA = DELTA_IN
c change made to limits 20 Sep 2010 (TAC)
c X1 = FP_Z_ICDF(P)+DELTA
c PARMS(1) = NU/2.D0
c PARMS(2) = 2.D0
c X2 = SQRT(FP_G2_ICDF(1.D0-P,PARMS)/NU)
c
c IF(X2 .LE. 0.D0) GOTO 99
c
c B = MIN(0.D0,X1,1.D0/X2,X1/X2)
c C = MAX(0.D0,X1,1.D0/X2,X1/X2)
B = -32.D0 ! Works for 0.01<=p<=0.99,nu=1,nc=0 07/15/2013 (TAC)
C = 32.D0
CALL DZEROIN(FTNCINV,B,C,RE,AE,IFLAG)
IF(IFLAG .NE. 1) GOTO 99
FP_TNC_ICDF = B
RETURN
99 CONTINUE
WRITE(*,*) 'ERROR IN FP_TNC_ICDF',IFLAG,P,NU,DELTA
C READ(*,*)
FP_TNC_ICDF = 0.D0
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
DOUBLE PRECISION FUNCTION FTNCINV(TP)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE CDF OF NON-CENTRAL T DISTRIBUTION
C
C AUTHOR.....TIM COHN
C DATE.......APRIL 19, 1999
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT DOUBLE PRECISION (A-H,O-Z)
c SAVE
DOUBLE PRECISION TP,ANS,P,NU,DELTA,FP_TNC_CDF
COMMON /ZNCT02/P,NU,DELTA
ANS = FP_TNC_CDF(TP,NU,DELTA) - P
FTNCINV = ANS
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C
DOUBLE PRECISION FUNCTION FP_B_CDF(X,A,B)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF BETA(X,ALPHA,BETA)
C
C AUTHOR.....TIM COHN
C DATE.......08 MAR 2010
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION
1 P,Q,X,A,B,BOUND
INTEGER
1 WHICH,STATUS
DATA WHICH/1/
CALL CDFBET ( WHICH, P, Q, X, 1.D0-X, A, B, STATUS, BOUND )
IF(STATUS .NE. 0) WRITE(*,*) ' ERROR IN CDFBET/FP_B_CDF',STATUS
FP_B_CDF = P
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C
DOUBLE PRECISION FUNCTION FP_B_ICDF(P,A,B)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE INVERSE CDF OF BETA(P,A,B)
C
C AUTHOR.....TIM COHN
C DATE.......08 MAR 2010
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION
1 P,X,Y,A,B,BOUND
INTEGER
1 WHICH,STATUS
DATA WHICH/2/
CALL CDFBET ( WHICH, P, 1.D0-P, X, Y, A, B, STATUS, BOUND )
IF(STATUS .NE. 0) WRITE(*,*) ' ERROR IN CDFBET/FP_B_ICDF',STATUS
FP_B_ICDF = X
RETURN
END
c
c
c Note: The following two commented-out functions do not work
c They do not deal with the non-centrality parameter at all
c
c tac 15 Sep 2010
c
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C
DOUBLE PRECISION FUNCTION FP_T_CDF(T,DF)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF CENTRAL T(T,DF)
C
C AUTHOR.....TIM COHN
C DATE.......08 MAR 2010
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION
1 DF,P,Q,T,BOUND
INTEGER
1 WHICH,STATUS
DATA WHICH/1/
CALL CDFT ( WHICH, P, Q, T, DF, STATUS, BOUND )
IF(STATUS .NE. 0) WRITE(*,*) ' ERROR IN CDFT/FP_T_CDF2',STATUS
FP_T_CDF = P
RETURN
END
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
C
DOUBLE PRECISION FUNCTION FP_T_ICDF(P,DF)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF CENTRAL T(T,DF)
C
C AUTHOR.....TIM COHN
C DATE.......08 MAR 2010
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION
1 DF,P,T,BOUND
INTEGER
1 WHICH,STATUS
DATA WHICH/2/
CALL CDFT ( WHICH, P, 1.D0-P, T, DF, STATUS, BOUND )
IF(STATUS .NE. 0) WRITE(*,*) ' ERROR IN CDFT/FP_T_CDF2',STATUS
FP_T_ICDF = T
RETURN
END
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
INTEGER FUNCTION MGBTP(X,N,PVALUEW)
!*** REVISION 2012.09
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
! IDENTIFIES THE NUMBER OF LOW OUTLIERS USING THE
! GENERALIZED GRUBBS-BECK TEST
! NOTES: SEE 2011 MANUSCRIPT BY COHN, STEDINGER, ENGLAND, ET AL.
!
! AUTHOR.........TIM COHN
! DATE...........1 MAR 2010 (TAC)
! MODIFIED....... 8 MAR 2010 (TAC)
! MODIFIED.......29 APR 2010 (TAC) [OFFSET ADDED FOR SMALL N]
! MODIFIED.......21 OCT 2010 (TAC) [OFFSET REMOVED; ESTIMATOR
! FOR E[S] REPLACED WITH GAMMA FUNCTION
! MODIFIED.......5 JAN 2011 (TAC)
! MODIFIED.......16 FEB 2011 (TAC) RETURNS PVALUEW
! MODIFICATIONS FOR MGBT TESTING
! John England, Bureau of Reclamation, 17-SEP-2012
! MODIFIED.......26 SEP 2012 (TAC) REWORKED CODE TO CLARIFY LOGIC
! AND AVOID STDOUT CALLS
!
!c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
! calling routine: gbtest
!
! input variables (from subroutine gbtest):
! ------------------------------------------------------------------------
! n i*4 number of observations (uncensored, with ql=qu)
! x(n) r*8 vector of floods in real space (qs from gbtest)
!
! note: see subroutine gbtest for input and call
! input is systematic 'Syst' records where ql_in=qu_in
! and tl_in <= gage_base from peakfqSA
!
!****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
! output variables:
! ------------------------------------------------------------------------
! pvaluew(n) r*8 vector of MGB p-values
! (function of n,k,w) returned from ggbcritp
!
!****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
! controlling parameters:
! ------------------------------------------------------------------------
! Alphaout r*8 significance level for outward sweep from median
! valid value range: >0
!
! Alphain r*8 significance level for inward sweep from smallest obs
! valid value range: any; controlled by tiny
!
! Alphazeroin r*8 significance level for inward sweep from smallest obs
! valid value range: >0
!
! default parameter values stored in block data
! data Alphaout/0.005d0/,Alphain/0.d0/,Alphazeroin/0.1d0/
!
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
IMPLICIT NONE
INTEGER DIM1,N
C JFE PARAMETER (DIM1=10000)
PARAMETER (DIM1=20000)
DOUBLE PRECISION
* X(N),PVALUEW(DIM1),W(DIM1),ZT(DIM1),S1,S2,XM,XV,
1 GGBCRITP,Alphaout,Alphain,Alphazeroin
INTEGER
* I,J1,J2,J3,N2,NC
common /MGB001/Alphaout,Alphain,Alphazeroin
DO 10 I=1,N
ZT(I) = LOG10(MAX(1D-88,X(I)))
PVALUEW(I) = -99.D0 ! MISSING VALUES
10 CONTINUE
! sort log flows from smallest to largest
CALL DSVRGN(N,ZT,ZT)
! set starting point for MGBT search at approximate median position (1/2 N)
N2 = N/2
S1 = 0.D0
S2 = 0.D0
DO 20 I=N,N2+2,-1
S1 = S1 + ZT(I)
S2 = S2 + ZT(I)**2
20 CONTINUE
DO 30 I=N2,1,-1
S1 = S1 + ZT(I+1)
S2 = S2 + ZT(I+1)**2
NC = N-I
XM = S1/DBLE(NC)
XV = (S2-NC*XM**2)/(NC-1.D0)
W(I) = (ZT(I)-XM)/SQRT(XV)
PVALUEW(I) = GGBCRITP(N,I,W(I))
30 CONTINUE
!
! Determine number of low outliers in 2 or 3 steps.
! Based on TAC original code and JRS recommendations.
!
! Step 1. Outward sweep from median (always done).
! alpha level of test = Alphaout
! number of outliers = J1
!
! Step 2. Inward sweep from largest low outlier identified in Step 1.
! alpha level of test = Alphain
! number of outliers = J2
!
! Step 3. Inward sweep from smallest observation
! alpha level of test = Alphazeroin
! number of outliers = J3
!
! Initialize counters
J1 = 0 ! Outward sweep number of low outliers
J2 = 0 ! Inward sweep number of low outliers
J3 = 0 ! Oth Inward sweep number of low outliers
! 1) Outward sweep check: Loop over low flows up to median
DO 110 I=N2,1,-1
IF(PVALUEW(I) .LT. Alphaout) GOTO 111
110 CONTINUE
111 CONTINUE
J1=I
! 2) Inward sweep check with Alphain
J2 = J1
DO 120 I=J1+1,N2
IF( (PVALUEW(I) .GE. Alphain)) GOTO 121
120 CONTINUE
121 CONTINUE
J2 = I-1
! 3) Inward sweep check with Alphazeroin
DO 130 I=1,N2
IF( (PVALUEW(I) .GE. Alphazeroin)) GOTO 131
130 CONTINUE
131 CONTINUE
J3=I-1
! Set number of low outliers as max of 3 sweeps
MGBTP = MAX(J1,J2,J3)
RETURN
END
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
blockdata MGBblk
implicit none
double precision Alphaout,Alphain,Alphazeroin
common /MGB001/Alphaout,Alphain,Alphazeroin
data Alphaout/0.005d0/,Alphain/0.d0/,Alphazeroin/0.1d0/
end
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
INTEGER FUNCTION MGBT(X,N)
!*** REVISION 2011.01
! RETURNS JUST NUMBER OF LOW OUTLIERS; MGBTP ALSO RETURNS PVALUES
IMPLICIT NONE
INTEGER DIM1,N,MGBTP
C JFE PARAMETER (DIM1=10000)
PARAMETER (DIM1=20000)
DOUBLE PRECISION X(*),PVALUEW(DIM1)
MGBT = MGBTP(X,N,PVALUEW)
RETURN
END
DOUBLE PRECISION FUNCTION GGBCRITP(N,R,ETA)
!*** REVISION 2011.01
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
! PROGRAM TO COMPUTE P-VALUES (GGCRITP) AND CRITICAL POINTS (GGCRITK)
! FOR A GENERALIZED GRUBBS-BECK TEST
! NOTES: SEE 2010 MANUSCRIPT BY COHN, ENGLAND, ET AL.
!
! AUTHOR.........TIM COHN
! DATE...........1 MAR 2010 (TAC)
! MODIFIED....... 8 MAR 2010 (TAC)
! MODIFIED.......29 APR 2010 (TAC) [OFFSET ADDED FOR SMALL N]
! MODIFIED.......21 OCT 2010 (TAC) [OFFSET REMOVED; ESTIMATOR
! FOR E[S] REPLACED WITH GAMMA FUNCTION
! MODIFIED........5 JAN 2011 (TAC) MGBT REVISED
!
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
IMPLICIT NONE
INTEGER
1 LIMIT
PARAMETER
1 (LIMIT=40000)
INTEGER
* N,R,N_IN,R_IN,
1 NEVAL,IER,LENW,LAST,IWORK(LIMIT),
2 KEY
DOUBLE PRECISION
* ETA,ETA_IN,
1 FGGB,EPSABS,EPSREL,RESULT,ABSERR,WORK(4*LIMIT)
EXTERNAL FGGB
COMMON /GGB001/ETA_IN,N_IN,R_IN
DATA EPSABS/1.D-5/,EPSREL/1.D-5/,KEY/3/,LENW/160000/
IF(N .LT. 10 .OR. R .GT. N/2) THEN
WRITE(*,*) ' INVALID INPUT DATA/GGBCRITP (N,R): ', N,R
GGBCRITP = 0.5D0
RETURN
ELSE
N_IN = N
R_IN = R
ETA_IN = ETA
ENDIF
CALL DQAG(FGGB,0.D0,1.D0,EPSABS,EPSREL,KEY,RESULT,ABSERR,
* NEVAL,IER,LIMIT,LENW,LAST,IWORK,WORK)
GGBCRITP = RESULT
RETURN
END
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION FUNCTION FGGB(PZR)
!*** REVISION 2011.01
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
IMPLICIT NONE
INTEGER
* N,R
DOUBLE PRECISION
* PZR,ETA,DF,MuM, MuS2,VarM,VarS2,CovMS2,EX1,EX2,EX3,EX4,
2 CovMS,VarS,alpha,beta,dlngam,
3 MuMP,EtaP,H,Lambda,MuS,ncp,q,VarMP,PR,ZR,N2,
4 FP_B_ICDF,FP_Z_ICDF,FP_Z_PDF,
5 FP_TNC_CDF
COMMON /GGB001/ETA,N,R
!
! Compute the value of the r-th smallest obs. based on its order statistic
!
N2 = dble(N-R)
PR = FP_B_ICDF(PZR,dble(R),dble(N+1-R))
ZR = FP_Z_ICDF(PR)
!
! Calculate the expected values of M, S2, S and their variances/covariances
!
H = FP_Z_PDF(ZR)/(Max(1.d-10,1.d0-PR))
EX1 = H
EX2 = 1 + H * ZR
EX3 = 2 * EX1 + H * ZR**2
EX4 = 3 * EX2 + H * ZR**3
MuM = EX1
MuS2 = (EX2-EX1**2)
VarM = MuS2/N2
VarS2 = ((EX4 - 4*EX3*EX1 + 6*EX2*EX1**2 - 3*EX1**4) -
1 MuS2**2)/N2 + 2.d0/((N2-1.d0)*n2)*MuS2**2
alpha = MuS2**2/VarS2
beta = MuS2/alpha
CovMS2 = (EX3 - 3*EX2*EX1 + 2*EX1**3)/SQRT(N2*(N2-1.D0))
MuS = SQRT(beta) * exp(dlngam(alpha+0.5d0)-dlngam(alpha))
CovMS = CovMS2/(2*MuS)
VarS = MuS2 - MuS**2
Lambda = CovMS/VarS
EtaP = Eta + Lambda
MuMP = MuM - Lambda * MuS
VarMP = VarM - CovMS**2/VarS
df = 2.d0*alpha
ncp = (MuMP -zr)/SQRT(VarMP)
q = -sqrt(MuS2/VarMP) * EtaP
FGGB = 1.d0 - FP_TNC_CDF(q,df,ncp)
c FGGB = 1.d0 - FP_NonCentral_T_CDF(q,df,ncp)
return
end
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!***
!***
DOUBLE PRECISION FUNCTION GGBCRITK(N,R,P)
!*** REVISION 2011.01
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
! PROGRAM TO COMPUTE CRITICAL POINTS FOR A GENERALIZED GRUBBS-BECK
! TEST
! NOTES: SEE 2010 MANUSCRIPT BY COHN, ENGLAND, ET AL.
!
! AUTHOR.........TIM COHN
! DATE...........25 OCT 2010 (TAC)
! MODIFIED....... 8 MAR 2010 (TAC)
!
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
IMPLICIT NONE
CTAC INTEGER
CTAC 1 LIMIT
CTAC
CTAC PARAMETER
CTAC 1 (LIMIT=40000)
INTEGER
* N,R,N_IN,R_IN,IFLAG,NCALLS
DOUBLE PRECISION
* FGGBX,FP_Z_ICDF,
1 P,P_IN,B,C,GUESS,RE,AE
EXTERNAL FGGBX
COMMON /GGB002/P_IN,N_IN,R_IN,NCALLS
DATA RE/1.D-6/,AE/1.D-6/
IF(R .LT. 1 .OR. R .GT. (N-1)) THEN
WRITE(*,*) 'ERROR IN GGBCRITK, R,N: ',R,N
STOP
ENDIF
N_IN = N
R_IN = R
P_IN = P
GUESS = FP_Z_ICDF(DBLE(R)/DBLE(N))
NCALLS = 0
B = -20.d0
C = 20.d0
CALL DFZERO (FGGBX, B, C, GUESS, RE, AE, IFLAG)
IF(IFLAG .NE. 1) THEN
WRITE(*,*) 'ERROR DFZERO/GGBCRITK, IFLAG: ',IFLAG
WRITE(*,*)
ENDIF
GGBCRITK = B
RETURN
END
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION FUNCTION FGGBX(ETA)
!*** REVISION 2011.01
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
IMPLICIT NONE
INTEGER
* N,R,NCALLS
DOUBLE PRECISION
* GGBCRITP,ETA,P
COMMON /GGB002/P,N,R,NCALLS
!
! Compute the value of the r-th smallest obs. based on its order statistic
!
FGGBX = GGBCRITP(N,R,ETA) - P
NCALLS = NCALLS+1
RETURN
END
DOUBLE PRECISION FUNCTION FP_NonCentral_T_CDF(X,DF_IN,NCP_IN)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C PROGRAM TO COMPUTE CDF OF NONCENTRAL T(T,DF,NCP)
C
C AUTHOR.....TIM COHN
C DATE.......01 APR 2010
C
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
IMPLICIT NONE
INTEGER
1 LIMIT
PARAMETER
1 (LIMIT=40000)
INTEGER
1 NEVAL,IER,LENW,LAST,IWORK(LIMIT),KEY
CTAC
CTAC
DOUBLE PRECISION
1 BOUND,EPSABS,EPSREL,RESULT,ABSERR,WORK(4*LIMIT),
2 NCP,W
CTAC
DOUBLE PRECISION
1 DF_IN,NCP_IN,X,DF
INTEGER
1 INF
COMMON /FPNC01/W,DF,NCP
DATA BOUND/0.D0/,INF/1/
DATA EPSABS/1.D-10/,EPSREL/1.D-10/,KEY/3/,LENW/160000/
EXTERNAL FNCT01
W = X
DF = DF_IN
NCP = NCP_IN
CALL DQAGI(FNCT01,BOUND,INF,EPSABS,EPSREL,RESULT,ABSERR,NEVAL,
1 IER,LIMIT,LENW,LAST,IWORK,WORK)
FP_NonCentral_T_CDF = RESULT
RETURN
END
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
DOUBLE PRECISION FUNCTION FNCT01(S2)
!*** REVISION 2011.01
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
!****|==|====-====|====-====|====-====|====-====|====-====|====-====|==////////
!
IMPLICIT NONE
DOUBLE PRECISION
* W,DF,NCP,S2,PARMS(2),
2 FP_Z_CDF,FP_G2_PDF
COMMON /FPNC01/W,DF,NCP
PARMS(1) = DF/2.D0
PARMS(2) = 2.D0/DF
FNCT01 = FP_Z_CDF(W*SQRT(S2)-NCP) * FP_G2_PDF(S2,PARMS)
RETURN
END
c*_*-*~*_*-*~* new program begins here *_*-*~*_*-*~*_*-*~
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c****|subroutine plotposHS
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c this routine provides plotting positions for censored data
c using the Hirsch/Stedinger plotting position formula (hirsch, 1987)
c Purpose is operational version of peakfq (bulletin 17b
c implementation) which would include the expected moments
c algorithm (ema; cohn et al. 1997; 2001)
c
c N.B: The returned values are "exceedance probabilities" which are
c equal to 1-NonExceedance probabilities
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c References
c ----------
c
c @article{hirsch1987plotting,
c title={{Plotting positions for historical floods and their precision}},
c author={Hirsch, R.M. and Stedinger, J.R.},
c journal={Water Resources Research},
c volume={23},
c number={4},
c pages={715--727},
c year={1987}
c }
c
c @article{cohn1997algorithm,
c title={{An algorithm for computing moments-based flood quantile estimates when historical flood information is available}},
c author={Cohn, TA and Lane, WL and Baier, WG},
c journal={Water Resources Research},
c volume={33},
c number={9},
c pages={2089--2096},
c year={1997}
c }
c
c @article{cohn2001confidence,
c title={{Confidence intervals for Expected Moments Algorithm flood quantile estimates}},
c author={Cohn, T.A. and Lane, W.L. and Stedinger, J.R.},
c journal={Water resources research},
c volume={37},
c number={6},
c pages={1695--1706},
c year={2001}
c }
c
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c development history
c
c timothy a. cohn 15 apr 2010
c modified 16 apr 2010
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c subroutine calls
c
c ppfit available in probfun.f
c arrange available in probfun.f
c porder available in probfun.f
c ppsolve available in probfun.f
c plpos available in probfun.f
c shellsort available in probfun.f
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c n.b. use of plotposHS requires two distinct types of information:
c
c a. "observations," which are described by {ql,qu};
c specifically, the true value of q is assumed to lie
c wihin the interval ql(i) <= q(i) <= qu(i);
c if q(i) is known exactly, then ql(i) = q(i) = qu(i);
c
c {ql,qu} are required by ema to fit p3 distn to data
c
c b. "censoring pattern," which is described by {tl,tu}
c {tl,tu} define the interval on which data get observed:
c if q is not inside {tl,tu}, q is either left or right
c censored.
c
c examples:
c {-inf,+inf} => systematic data (exact value of q
c would be measured)
c {t, +inf} => historical data
c q>=t would be known exactly;
c q<t would be reported as censored ("less-than")
c
c {tl,tu} are required by ema to estimate confidence
c intervals; they are not required for frequency
c curve determination
c
c n.b. broken record is represented in the time-series data by a
c threshold value, tl(i), equal to 1.d12 or larger. This
c indicates that only flows greater than 1.d12 would have
c been recorded. No such floods have ever occurred on the
c planet [TAC, 2010, personal communication].
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c input variables:
c ------------------------------------------------------------------------
c n i*4 number of observations (censored, uncensored, or
c other)
c ql(n) r*8 vector of lower bounds on floods
c qu(n) r*8 vector of upper bounds on floods
c tl(n) r*8 vector of lower bounds on flood threshold
c tu(n) r*8 vector of upper bounds on flood threshold
c alpha r*8 alpha value to be used in defining plotting
c position pp(i) = (i-alpha)/(n+1-2*alpha)
c
c n.b. input data are the same as the first 5 arguments to emafit
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c output variables:
c ------------------------------------------------------------------------
c
c q(n) r*8 sorted discharges
c peX(n) r*8 estimated exceedance probabilities
c nt i*4 number of censoring thresholds
c thr(nt) r*8 vector of censoring thresholds
c peT(nt) r*8 estimated exceedance probabilities of thresholds
c nb(nt) i*4 number of observations censored at each threshold
c
c n.b. output data correspond to every observation that is not identified
c as broken record. Censored data are assigned relative plotting
c positions according to their order in the input time series.
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
subroutine plotposHS(n,ql,qu,tl,tu,alpha,q,peX,nt,thr,peT,nb)
implicit none
integer
1 n,i,j,n_true,nmax
C JFE parameter (nmax=10000)
parameter (nmax=20000)
integer
1 ix(nmax),nt,nb(nmax)
double precision
1 ql(n),qu(n),tl(n),tu(n),peX(*),peT(*),infty,
2 q(nmax),t(nmax),mu,sigma,pp(nmax),xsynth(nmax),
3 alpha,thr(nmax)
data infty/1.d12/
n_true = 0
do 10 i=1,n
if(tl(i) .lt. infty) then
n_true = n_true + 1
c for interval data, use average of endpoints to determine order for plotting
q(n_true) = (ql(i)+qu(i))/2.d0
t(n_true) = tl(i)
ix(n_true) = i
else
peX(i) = -99.d0
endif
10 continue
call ppfit2(n_true,q,t,mu,sigma,pp,xsynth,
1 alpha,nt,thr,peT,nb)
do 20 j=1,n_true
peX(ix(j)) = 1.d0-pp(j)
20 continue
return
end
C*_*-*~*_*-*~* NEW PROGRAM BEGINS HERE *_*-*~*_*-*~*_*-*~
SUBROUTINE MDL_MR(N,X,XD,MU,SIGMA,PPALL,XSYNTH,MOMS,QUANTS)
C===============================================================================
C
C SUBROUTINE TO FIT LN2 DISTRIBUTION TO MULTIPLY-CENSORED DATA
C USING THE MR METHOD (SEE HELSEL AND COHN, WRR, 1988)
C
C
C AUTHOR........TIM COHN
C DATE..........12 FEBRUARY 2003 (TAC)
C
C===============================================================================
C
C *** N.B. THIS METHOD SHOULD NOT BE APPLIED TO WATER QUALITY DATA
C *** EXCEPT WITH GREAT CARE... TAC (12 MARCH 2003)
C
C *** THE MR/MDL APPROACH ASSUMES A TYPE II CENSORING MODEL;
C *** CENSORING RELATED TO WATER QUALITY DATA IS INVARIABLY TYPE I
C
C *** SEE WARNINGS OR CONTACT AUTHOR IF THERE IS ANY QUESTION
C *** ABOUT THIS.
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C N I*4 INPUT NUMBER OF OBSERVATIONS (NO-DETECTS COUNT)
C X(N) R*8 INPUT VECTOR CONTAINING DATA; '0' INDICATES
C NO-DETECT
C XD(N) R*8 INPUT VECTOR CONTAINING CENSORING THRESHOLD FOR
C EACH PT.
C MU R*8 OUTPUT FITTED VALUE OF MU
C SIGMA R*8 OUTPUT FITTED VALUE OF SIGMA
C PPALL(N) R*8 OUTPUT VECTOR OF PLOTTING POSITIONS CORR. TO X
C (SEE HELSEL & COHN, WRR 24(12), 1988)
C XSYNTH(N) R*8 OUTPUT VECTOR OF REAL AND SYNTHETIC OBSERVATIONS
C XSYNTH(I) = X(I); X(I)>=XD(I)
C XSYNTH(I) = EXP(MU+Z(PPALL(I))*SIGMA); X(I)<XD(I)
C MOMS(2) R*8 OUTPUT VECTOR OF MEAN(X), VARIANCE(X)
C QUANTS(5) R*8 OUTPUT VECTOR OF 10TH, 25TH, 50TH, 75TH, AND 90TH
C PERCENTILES OF SAMPLE USING WEIBULL PLOTTING POS.
C
C===============================================================================
C
C N.B. 1) "SYNTHETIC" VALUES ARE ASSIGNED TO THE "LESS-THAN" VALUES.
C 2) THE "SYNTHETIC VALUES" MAY EXCEED THE CENSORING THRESHOLD
C (THIS OCCURS FOR TWO REASONS:
C 1) AN LN2 MODEL IS EMPLOYED TO MODEL THE CENSORED DATA
C 2) THE PLOTTING POSITION AND MR FORMULAS ASSUME A
C TYPE-II CENSORING MODEL. IN FACT, CENSORING OF WATER
C QUALITY DATA ALMOST INVARIABLY RESULTS FROM A TYPE-I
C CENSORING PROCESS)
C
C===============================================================================
IMPLICIT NONE
DOUBLE PRECISION
1 X(*),XD(*),MU,SIGMA,PPALL(*),XSYNTH(*),MOMS(2),
2 P(5),QUANTS(5),
3 XS,XSS
INTEGER
1 N,I,NP
DATA NP/5/,P/0.10,0.25,0.50,0.75,0.90/
CALL PPFIT(N,X,XD,MU,SIGMA,PPALL,XSYNTH)
XS = 0.D0
XSS = 0.D0
DO 30 I=1,N
XS = XS+XSYNTH(I)
XSS = XSS+XSYNTH(I)**2
30 CONTINUE
MOMS(1) = XS/DBLE(N)
MOMS(2) = (XSS-N*MOMS(1)**2)/(N-1.D0)
CALL QTL(XSYNTH,N,P,NP,QUANTS)
RETURN
END
SUBROUTINE PPFIT(N,X,XD,MU,SIGMA,PPALL,XSYNTH)
C===============================================================================
C
C DUMMY ROUTINE TO REPRODUCE RESULTS FROM PREVIOUS VERSIONS OF PPFIT
C
INTEGER N_T
C JFE
C PARAMETER (N_T=10000)
PARAMETER (N_T=20000)
DOUBLE PRECISION
1 X(*),XD(*),MU,SIGMA,PPALL(*),XSYNTH(*),PE(N_T),THR(N_T)
INTEGER
1 N,NT,NBT(N_T)
CALL PPFIT2(N,X,XD,MU,SIGMA,PPALL,XSYNTH,
1 0.D0,NT,THR,PE,NBT)
RETURN
END
C===============================================================================
SUBROUTINE PPFIT2(N,X,XD,MU,SIGMA,PPALL,XSYNTH,
1 ALPHA,NT,THR,PE_OFF,NBT)
C===============================================================================
C
C SUBROUTINE TO FIT LN2 DISTRIBUTION TO MULTIPLY-CENSORED DATA
C
C AUTHOR........TIM COHN
C DATE..........APRIL 7, 1986
C MODIFIED......12 FEBRUARY 2003 (TAC)
C --REMOVED ERRORS INTRODUCED IN 1986 REVISION TO CODE
C --IMPLICIT NONE ADDED; ALL VARIABLES DECLARED
C --DOUBLE PRECISION
C MODIFIED......10 JUNE 2011 (TAC)
C --COMPUTE PLOTTING POSITIONS FOR ''GLYPHS''
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C N I*4 INPUT NUMBER OF OBSERVATIONS (NO-DETECTS COUNT)
C X(N) R*8 INPUT VECTOR CONTAINING DATA; '0' INDICATES
C NO-DETECT
C XD(N) R*8 INPUT VECTOR CONTAINING CENSORING THRESHOLD FOR
C EACH PT.
C MU R*8 OUTPUT FITTED VALUE OF MU
C SIGMA R*8 OUTPUT FITTED VALUE OF SIGMA
C PPALL(N) R*8 OUTPUT VECTOR OF PLOTTING POSITIONS
C CORRESPONDING TO X
C (SEE HELSEL & COHN, WRR 24(12), 1988)
C XSYNTH(N) R*8 OUTPUT VECTOR OF REAL AND SYNTHETIC OBSERVATIONS
C XSYNTH(I) = X(I); X(I)>=XD(I)
C XSYNTH(I) = EXP(MU+Z(PPALL(I))*SIGMA); X(I)<XD(I)
C NT I*4 OUTPUT NUMBER OF DISTINCT THRESHOLD
C THR(NT) R*8 OUTPUT VECTOR OF THRESHOLDS
C PE_OFF(NT)R*8 OUTPUT VECTOR NON-EXCEEDANCE PROBS CORR. TO
C THRESHOLDS; NOTE THAT PE(0) HAS BEEN OMITTED
C NBT(NT) I*4 OUTPUT NO. NO-DETECTS CENSORED AT THR(I)
C (OBSVS SPECIFIED AS "<THR(I)")
C
C===============================================================================
C
C N.B. 1) "SYNTHETIC" VALUES ARE ASSIGNED TO THE "LESS-THAN" VALUES.
C 2) THE "SYNTHETIC VALUES" MAY EXCEED THE CENSORING THRESHOLD
C (THIS OCCURS FOR TWO REASONS:
C 1) AN LN2 MODEL IS EMPLOYED TO MODEL THE CENSORED DATA
C 2) THE PLOTTING POSITION AND MR FORMULAS ASSUME A
C TYPE-II CENSORING MODEL. IN FACT, CENSORING OF WATER
C QUALITY DATA ALMOST INVARIABLY RESULTS FROM A TYPE-I
C CENSORING PROCESS)
C
C===============================================================================
C
C NT I*4 NUMBER OF THRESHOLDS
C NBT(NT) I*4 NUMBER OF OBSERVATIONS BELOW EACH THRESHOLD
C ND(NT) I*4 NUMBER OF DETECTS ABOVE THIS THR. AND BELOW NEXT
C NVAL I*4 TOTAL NUMBER OF DETECTS
C
C===============================================================================
IMPLICIT NONE
INTEGER N_PTS,N_T
C JFE
C PARAMETER (N_T=10000,N_PTS=10000)
PARAMETER (N_T=20000,N_PTS=20000)
DOUBLE PRECISION
1 X(*),XD(*),MU,SIGMA,
2 Y(N_PTS),PP(N_PTS),ALPHA,
3 PPC(N_PTS),PPALL(*),XSYNTH(*),
4 THR(N_T),PE(0:N_T),PE_OFF(N_T)
INTEGER
1 N,ND(N_T),NBT(N_T),NB(N_T),NT,NVAL,I
CALL ARRANGE2(X,XD,N,NT,ND,NB,NVAL,Y,THR,NBT)
CALL PPLOT2(NT,ND,NB,ALPHA,PP,PPC,PE)
DO 10 I=1,NT
PE_OFF(I) = PE(I) ! ELIMINATE PE(0), WHICH EQUALS 1.0
10 CONTINUE
CALL PPSOLVE(Y,PP,NVAL,MU,SIGMA)
CALL PLPOS(N,X,XD,PP,PPC,MU,SIGMA,PPALL,XSYNTH)
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE ARRANGE2(X,XD,N,NT,ND,NB,NVAL,Y,THRESH,NBT)
C===============================================================================
C
C SUBROUTINE DESIGNED TO ARRANGE DATA FOR PPFIT, WHICH EMPLOYS DATA TO
C FIT LN2 DISTRIBUTION TO MULTIPLY-CENSORED DATA
C
C AUTHOR........TIM COHN
C DATA..........APRIL 7, 1986
C MODIFIED......10 JUNE 2011 (TAC)
C --COMPUTE PLOTTING POSITIONS FOR ''GLYPHS''
C MODIFIED......12 FEBRUARY 2003 (TAC)
C --REMOVED ERRORS INTRODUCED IN 1986
C WHEN CODE WAS REVISED BY DRH.
C --IMPLICIT NONE ADDED; ALL VARIABLES DECLARED
C --DOUBLE PRECISION
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C X(N) R*8 INPUT VECTOR CONTAINING DATA; '0' INDICATES
C NO-DETECT
C XD(N) R*8 INPUT VECTOR CONTAINING CENSORING THRESHOLD FOR
C EACH PT.
C N I*4 INPUT NUMBER OF OBSERVATIONS (NO-DETECTS COUNT)
C NT I*4 OUTPUT NUMBER OF THRESHOLDS
C NB(NT) I*4 OUTPUT TOTAL NO. OBS. BELOW EACH THRESHOLD
C NBT(NT) I*4 OUTPUT NO. OBS. BELOW SPECIFIC THRESHOLD
C ND(NT) I*4 OUTPUT NUMBER OF DETECTS ABOVE THIS THR. AND
C BELOW NEXT
C NVAL I*4 OUTPUT TOTAL NUMBER OF DETECTS
C Y(N) R*8 OUTPUT VECTOR OF SORTED DETECTS
C THRESH(NT)R*8 OUTPUT VECTOR OF SORTED THRESHOLDS
C
C===============================================================================
IMPLICIT NONE
DOUBLE PRECISION
1 X(*),XD(*),Y(*),
2 THRESH(200),PLUSINF
INTEGER
C JFE
C 1 N,NT,NVAL,ND(*),NBT(*),NB(*),IP(10000),
1 N,NT,NVAL,ND(*),NBT(*),NB(*),IP(20000),
2 I,ICT,J
DATA PLUSINF/1.0D30/
CALL PORDER(XD,N,IP)
ICT = 0
J = 1
THRESH(1) = XD(IP(1))
NBT(1) = 0
DO 10 I=1,N
IF(XD(IP(I)) .NE. THRESH(J)) THEN
J = J+1
THRESH(J) = XD(IP(I))
ND(J) = 0
NBT(J) = 0
ENDIF
IF(X(IP(I)) .GE. THRESH(J)) THEN
ICT = ICT+1
Y(ICT) = X(IP(I))
ELSE
NBT(J) = NBT(J)+1
ENDIF
10 CONTINUE
NT = J
NVAL = ICT
THRESH(NT+1) = PLUSINF
CALL SHELLSORT(Y,ICT)
J = 1
ND(1) = 0
DO 20 I=1,NVAL
30 IF(Y(I) .GE. THRESH(J+1)) THEN
J = J+1
ND(J)= 0
GOTO 30
ELSE
ND(J)= ND(J)+1
ENDIF
20 CONTINUE
NB(1) = NBT(1)
DO 40 I=2,NT
NB(I) = NB(I-1)+NBT(I)+ND(I-1)
40 CONTINUE
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE PPLOT2(NT,ND,NB,ALPHA,PP,PPC,PE)
C===============================================================================
C
C SUBROUTINE TO FIND PLOTTING POSITIONS FOR DATA CENSORED AT MULTIPLE
C THRESHOLDS
C
C AUTHOR........TIM COHN
C DATE..........APRIL 7, 1986
C MODIFIED......12 FEBRUARY 2003 (TAC)
C --REMOVED ERRORS INTRODUCED IN 1986
C WHEN CODE WAS REVISED BY DRH.
C --IMPLICIT NONE ADDED; ALL VARIABLES DECLARED
C --DOUBLE PRECISION
C MODIFIED......15 JUNE 2011 (TAC)
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C NT I*4 INPUT NUMBER OF THRESHOLDS
C ND(NT) I*4 INPUT NUMBER OF DETECTS ABOVE THIS THR. AND BELOW
C NEXT
C NB(NT) I*4 INPUT NUMBER OF OBSERVATIONS BELOW EACH THRESHOLD
C ALPHA R*8 INPUT PLOTTING POSITION ALPHA (I-A)/(N+1-2A)
C PP(NA) R*8 OUTPUT VECTOR OF PLOTTING POSITIONS
C PPC(NB) R*8 OUTPUT VECTOR OF PLOTTING POSITIONS CORRESONDING TO
C X<XD
C PE(0:NT) R*8 OUTPUT VECTOR OF PLOTTING POSITIONS CORRESONDING TO
C THRESHOLDS
C
C===============================================================================
IMPLICIT NONE
INTEGER N_T
C JFE
C
C PARAMETER (N_T=10000)
PARAMETER (N_T=20000)
DOUBLE PRECISION
1 PP(*),PE(0:N_T),ALPHA,PD,PPT,PPC(*)
INTEGER
1 ND(*),NB(*),NT,
2 ISUM,I,J,JSUM,NBT
PE(NT+1) = 0.D0
DO 10 I=NT,1,-1
PD = ND(I)/FLOAT(MAX(1,ND(I))+NB(I))
PE(I) = PE(I+1) + (1.D0-PE(I+1)) * PD
10 CONTINUE
ISUM = 0
JSUM = 0
PE(0) = 1.00D0
DO 20 I=1,NT
DO 30 J=1,ND(I)
PPT = (J-ALPHA)/(ND(I) + 1.0 - 2.0*ALPHA)
PP(ISUM+J) = (1.D0-PE(I)) + (PE(I)-PE(I+1))*PPT
30 CONTINUE
ISUM = ISUM+ND(I)
IF(I .EQ. 1) THEN
NBT = NB(1)
ELSE
NBT = NB(I)-NB(I-1)-ND(I-1)
ENDIF
DO 40 J=1,NBT
PPT = (J-ALPHA)/(NBT+1.0-2*ALPHA)
PPC(JSUM+J) = (1-PE(I))*PPT
40 CONTINUE
JSUM=JSUM+NBT
20 CONTINUE
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE PPSOLVE(Y,PP,NVAL,MU,SIGMA)
C===============================================================================
C
C SUBROUTINE TO SOLVE FOR LEAST SQUARES ESTIMATES OF MU AND SIGMA
C ASSUMING A LINEAR MODEL
C
C AUTHOR........TIM COHN
C DATE..........APRIL 7, 1986
C MODIFIED......12 FEBRUARY 2003 (TAC)
C --REMOVED ERRORS INTRODUCED IN 1986
C WHEN CODE WAS REVISED BY DRH.
C --IMPLICIT NONE ADDED; ALL VARIABLES DECLARED
C --DOUBLE PRECISION
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C Y(N) R*8 INPUT VECTOR CONTAINING SORTED DETECT-DATA
C PP(NA) R*8 INPUT VECTOR OF PLOTTING POSITIONS
C NVAL I*4 INPUT TOTAL NUMBER OF DETECTS
C MU R*8 OUTPUT FITTED VALUE OF MU
C SIGMA R*8 OUTPUT FITTED VALUE OF SIGMA
C
C===============================================================================
IMPLICIT NONE
INTEGER N_PTS
C JFE
C PARAMETER (N_PTS=10000)
PARAMETER (N_PTS=20000)
DOUBLE PRECISION
1 Y(*),PP(*),MU,SIGMA,
2 PSIG(N_PTS),LOGY(N_PTS),
3 FP_Z_ICDF,
4 SUMY,SUMP,SUMPY,SUMP2,YBAR,PBAR
INTEGER
1 I,NVAL
SUMY = 0.D0
SUMP = 0.D0
SUMPY= 0.D0
SUMP2= 0.D0
DO 10 I=1,NVAL
PSIG(I) = FP_Z_ICDF(PP(I))
LOGY(I) = LOG(Y(I))
SUMY = SUMY + LOGY(I)
SUMPY = SUMPY + LOGY(I)*PSIG(I)
SUMP = SUMP + PSIG(I)
SUMP2 = SUMP2 + PSIG(I)**2
10 CONTINUE
YBAR = SUMY/NVAL
PBAR = SUMP/NVAL
SIGMA = (SUMPY-NVAL*PBAR*YBAR)/(SUMP2-NVAL*PBAR**2)
MU = YBAR - SIGMA*PBAR
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE PLPOS(N,X,XD,PP,PPC,MU,SIGMA,PPALL,XSYNTH)
C===============================================================================
C
C SUBROUTINE PLPOS GIVES THE PLOTTING POSITIONS FOR ALL OF THE
C OBSERVATIONS, CENSORED AND UNCENSORED, IN THE ORIGINAL INPUT
C DATA SET
C
C
C AUTHOR....TIM COHN
C DATE......12 FEBRUARY 2003 (TAC)
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C N I*4 INPUT NUMBER OF OBSERVATIONS (NO-DETECTS COUNT)
C X(N) R*8 INPUT VECTOR CONTAINING DATA; '0' INDICATES
C NO-DETECT
C XD(N) R*8 INPUT VECTOR CONTAINING CENSORING THRESHOLD FOR
C EACH PT.
C PP(NA) R*8 INPUT VECTOR OF PLOTTING POSITIONS CORRESONDING TO
C X>=XD
C (SEE HELSEL & COHN, WRR 24(12), 1988)
C PPC(NB) R*8 INPUT VECTOR OF PLOTTING POSITIONS CORRESONDING TO
C X<XD
C MU R*8 INPUT FITTED VALUE OF MU
C SIGMA R*8 INPUT FITTED VALUE OF SIGMA
C PPALL(N) R*8 OUTPUT VECTOR OF PLOTTING POSITIONS CORRESONDING TO X
C (SEE HELSEL & COHN, WRR 24(12), 1988)
C XSYNTH R*8 OUTPUT VECTOR OF REAL AND SYNTHETIC OBSERVATIONS
C XSYNTH(I) = X(I);
C X(I)>=XD(I)
C XSYNTH(I) = EXP(MU+Z(PPALL(I))*SIGMA);
C X(I)<XD(I)
C
C===============================================================================
IMPLICIT NONE
INTEGER N_PTS
C JFE
C
C PARAMETER (N_PTS=10000)
PARAMETER (N_PTS=20000)
DOUBLE PRECISION
1 X(*),XD(*),MU,SIGMA,PPALL(*),PP(*),PPC(*),XSYNTH(*),
2 FP_Z_ICDF
INTEGER
1 IX(N_PTS),IXD(N_PTS),N,NA,NB,I
CALL PORDER(X,N,IX)
CALL PORDER(XD,N,IXD)
NA = 0
NB = 0
DO 10 I=1,N
IF(X(IX(I)) .GE. XD(IX(I))) THEN
NA = NA+1
PPALL(IX(I)) = PP(NA)
XSYNTH(IX(I)) = X(IX(I))
ENDIF
IF(X(IXD(I)) .LT. XD(IXD(I))) THEN
NB = NB+1
PPALL(IXD(I)) = PPC(NB)
XSYNTH(IXD(I))= EXP(MU+FP_Z_ICDF(PPC(NB))*SIGMA)
ENDIF
10 CONTINUE
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE PORDER(X,N,IX)
C===============================================================================
C
C SUBROUTINE PORDER GIVES THE PERMUTATION OF A USER-SUPPLIED
C VECTOR. TREE-SORT ALGORITHM IS EMPLOYED (WHY NOT?)
C RETURN RESULTING IX ARRAY WITH THE ASCENDING PERMUTATIONS
C
C X(IX(1)) = SMALLEST VALUE IN X
C X(IX(N)) = LARGEST VALUE IN X
C
C
C AUTHOR....TIM COHN
C DATE......APRIL 1, 1986
C REVISED...AUGUST 9, 1986 (TAC)
C MODIFIED......12 FEBRUARY 2003 (TAC)
C --REMOVED ERRORS INTRODUCED IN 1986
C WHEN CODE WAS REVISED BY DRH.
C --IMPLICIT NONE ADDED; ALL VARIABLES DECLARED
C --DOUBLE PRECISION
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C X(N) R*8 INPUT VECTOR OF UNORDERED DATA
C N I*4 INPUT NUMBER OF OBSERVATIONS IN X
C IX(N) I*4 OUTPUT VECTOR CONTAINING PERMUTATION OF X
C X(IX(1)) IS THE SMALLEST VALUE OF X
C . . .
C X(IX(N)) IS THE LARGEST VALUE OF X
C
C===============================================================================
IMPLICIT NONE
INTEGER N_PTS
C JFE
C
C PARAMETER (N_PTS=10000)
PARAMETER (N_PTS=20000)
DOUBLE PRECISION X(*)
INTEGER
1 L(0:N_PTS),R(0:N_PTS),P(0:N_PTS),
2 IX(*),I2,I,INDX,N,ICT
C===============================================================================
C
C FIRST CHECK TO SEE IF WE HAVE AN ORDERED DATA VECTOR TO BEGIN WITH
C
DO 50 I2=2,N
IX(I2) = I2
IF(X(I2) .LT. X(I2-1)) GOTO 1
50 CONTINUE
IX(1) = 1
RETURN
1 CONTINUE
L(1) = 0
R(1) = 0
P(1) = 0
DO 10 I=2,N
INDX = 1
L(I) = 0
R(I) = 0
20 CONTINUE
IF(X(I) .GE. X(INDX)) THEN
IF(R(INDX) .EQ. 0) THEN
R(INDX) = I
P(I) = INDX
GOTO 10
ELSE
INDX = R(INDX)
GOTO 20
ENDIF
ELSE
IF(L(INDX) .EQ. 0) THEN
L(INDX) = I
P(I) = INDX
GOTO 10
ELSE
INDX = L(INDX)
GOTO 20
ENDIF
ENDIF
10 CONTINUE
INDX = 1
DO 40 ICT=1,N
30 CONTINUE
IF(L(INDX) .EQ. 0) THEN
IX(ICT) = INDX
P(R(INDX)) = P(INDX)
L(P(INDX)) = R(INDX)
INDX = P(INDX)
ELSE
INDX = L(INDX)
GOTO 30
ENDIF
40 CONTINUE
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE SHELLSORT(X,N)
C===============================================================================
C
C SUBROUTINE TO SORT A VECTOR IN PLACE
C
C AUTHOR........TIM COHN
C DATE..........12 FEBRUARY 2003 (TAC)
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C X(N) R*8 INPUT/OUTPUT VECTOR OF DATA
C N I*4 INPUT SAMPLE SIZE
C
C===============================================================================
IMPLICIT NONE
DOUBLE PRECISION X(*),R
INTEGER N,M,I,J,S,Z
M=N
100 M=INT(M/2)
IF (M.EQ.0) GOTO 210
DO 190 S=1,M
130 I=S
J=S+M
Z=0
140 IF (X(I).LE.X(J)) GOTO 160
Z=1
R=X(I)
X(I)=X(J)
X(J)=R
160 I=J
J=J+M
IF (J.LT.(N+1)) GOTO 140
IF (Z.EQ.1) GOTO 130
190 CONTINUE
GOTO 100
210 RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE QTL(X,N,P,NP,Q)
C===============================================================================
C
C SUBROUTINE TO COMPUTE QUANTILES OF A VECTOR
C THIS EMPLOYS THE WEIBULL OR GUMBEL PLOTTING POSITIONS (I/(N+1))
C
C AUTHOR........TIM COHN
C DATE..........12 FEBRUARY 2003 (TAC)
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C
C===============================================================================
C
C X(N) R*8 INPUT VECTOR OF DATA
C N I*4 INPUT SAMPLE SIZE
C P(N) R*8 INPUT VECTOR OF PROBABILITIES (PERCENTILES/100) TO
C ESTIMATE
C Q(N) R*8 OUTPUT VECTOR OF QUANTILES
C
C===============================================================================
C
C N.B. 1) WEIBULL (AKA "GUMBEL") PLOTTING POSTIONS ARE USED, WHICH
C CORRESPOND TO ALPHA=0.0 IN THE GENERAL EQUATION FOR
C PLOTTING POSTIONS PP(I) =(I-ALPHA)/(N+1-2*ALPHA)
C EXCEL, AND MANY OTHER STATISTICAL PACKAGES, EMPLOY THE
C "HAZEN" PLOTTING POSITIONS (ALPHA=0.5).
C
C===============================================================================
IMPLICIT NONE
INTEGER N_PTS
C JFE
C
C PARAMETER (N_PTS=10000)
PARAMETER (N_PTS=20000)
DOUBLE PRECISION
1 X(*),P(*),Q(*),XS(0:N_PTS),FN,ALPHA
INTEGER
1 I,INDX,NP,N
CALL DSVRGN(N,X,XS(1))
XS(0) = -9.0D99
XS(N+1) = 9.0D99
DO 20 I=1,NP
FN = MAX(0.D0,MIN(1.D0,P(I)))*(N+1.D0)
INDX = INT(FN)
ALPHA = FN-INDX
Q(I) = (1.D0-ALPHA)*XS(INDX)+ALPHA*XS(INDX+1)
20 CONTINUE
RETURN
END
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c silly little function to print asterisks for p-value significance
c
c timothy a. cohn 9 mar 2011
c
character*4 function signif(p)
double precision p
if(p .lt. 0.01) then
signif = ' ***'
else if(p .lt. 0.05d0) then
signif = ' ** '
else if(p .lt. 0.10d0) then
signif = ' * '
else if(p .ge. 0.10d0) then
signif = ' '
endif
return
end
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c another silly little function to grab last 4 characters in filename
c (usually the ".ext") and make it available.
c
c timothy a. cohn 9 mar 2011
c
character*4 function filext(fname)
character*(*) fname
integer ichar
ichar=len_trim(fname)
filext=fname(max(1,(ichar-3)):ichar)
return
end
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c****|subroutine EDFinit
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c Program to estimate probabilities and quantiles of distributions
c based on finite samples
c
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c development history
c
c timothy a. cohn 15 jul 2011
c modified 18 jul 2011
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c input variables:
c ------------------------------------------------------------------------
c n i*4 number of observations (censored, uncensored, or
c other)
c x(n) r*8 vector of edf data
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c output variables:
c ------------------------------------------------------------------------
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
subroutine EDFinit(n,x)
implicit none
integer
1 n, ! input variables
2 pn,i,no
logical initc
parameter (pn=1000000)
double precision
1 x(*),xc,pc,pnep
save
common /EDF001/no,initc,xc(0:pn),pc(0:pn),pnep(0:pn)
c initiate arrays for work
if(n .lt. 1) then
write(*,*) 'EDFinit: Need more than 0 observations'
stop
else if(n .lt. 1) then
write(*,*) 'EDFinit: Maximum Number of Datapoints: ',n
stop
endif
no = n
call dsvrgn(no,x,xc(1))
do 10 i=1,no
pc(i) = dble(i)/dble(no) ! pc
10 continue
do 20 i=no-1,1,-1
if( xc(i) .lt. xc(i+1) ) then
pnep(i) = pc(i) ! pnep(i) = non-exceedance prob of xc(i)
else
pnep(i) = pnep(i+1) ! dealing with ties
endif
20 continue
pnep(no) = 1.d0
call srand(123457) ! initialize random number generator with new seed
initc = .TRUE.
return
end
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
blockdata EDFblk
implicit none
integer pn,no
parameter (pn=1000000)
double precision xc,pc,pnep
logical initc
common /EDF001/no,initc,xc(0:pn),pc(0:pn),pnep(0:pn)
data initc/.FALSE./,xc(0)/-1.d99/,pc(0)/0.d0/,pnep(0)/0.d0/
end
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c****|double precision function pEDF
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c Program to estimate probabilities of distributions
c based on finite samples
c
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c development history
c
c timothy a. cohn 15 jul 2011
c modified 18 jul 2011
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c input variables:
c ------------------------------------------------------------------------
c x0 r*8 x value for which F(x0) is to be computed
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c output
c ------------------------------------------------------------------------
c pEDF r*8 F(x0)
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
double precision function pEDF(x0)
implicit none
logical initc
integer
1 pn,i,no,itop,ibot,iguess
parameter (pn=1000000)
double precision
1 x0,xc,result,pc,pnep
save
common /EDF001/no,initc,xc(0:pn),pc(0:pn),pnep(0:pn)
if(.not. initc) then
write(*,*) 'pEDF: EDF needs to be initiated before use'
stop
endif
ibot = 0
itop = no
do 10 i=1,1000
if(itop-ibot .le. 1) then
result = pc(itop)
goto 99
endif
iguess = (ibot+itop)/2
if(x0 .gt. xc(iguess)) then
ibot = iguess
else if(x0 .lt. xc(iguess)) then
itop = iguess
else
result = pnep(iguess)
goto 99
endif
10 continue
99 continue
pEDF = result
return
end
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c****|double precision function qEDF
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c Program to estimate quantiles of distributions
c based on finite samples
c
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c development history
c
c timothy a. cohn 15 jul 2011
c modified 18 jul 2011
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c input variables:
c ------------------------------------------------------------------------
c p0 r*8 x value for which F(x0) is to be computed
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c output
c ------------------------------------------------------------------------
c qEDF r*8 F(x0)
c
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c N.B. Quantile function corresponds to R quantile function
c quantile(xc,p0,type=4)
c The quantiles are interpolated between datapoints
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
double precision function qEDF(p0)
implicit none
integer
1 pn,i,no,itop,ibot,iguess
logical initc
parameter (pn=1000000)
double precision
1 p0,xc,pc,pnep,result
save
common /EDF001/no,initc,xc(0:pn),pc(0:pn),pnep(0:pn)
if(.not. initc) then
write(*,*) 'qEDF: EDF needs to be initiated before use'
stop
endif
ibot = 0
itop = no
do 10 i=1,1000
if(itop-ibot .le. 1) then
if(pc(itop) .ne. pc(ibot)) then
result = ((p0-pc(ibot))*xc(itop)+(pc(itop)-p0)*xc(ibot))/
1 (pc(itop)-pc(ibot))
else
result = pc(ibot)
endif
goto 99
endif
iguess = (ibot+itop)/2
if(p0 .gt. pc(iguess)) then
ibot = iguess
else if(p0 .lt. pc(iguess)) then
itop = iguess
else
result = xc(iguess)
goto 99
endif
10 continue
99 continue
qEDF = result
return
end
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c****|double precision function rEDF
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c Program to generate random samples (sampled with replacement)
c from EDF
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c development history
c
c timothy a. cohn 15 jul 2011
c modified 18 jul 2011
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
c input variables:
c ------------------------------------------------------------------------
c
c
c****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
c
double precision function rEDF()
implicit none
integer
1 no,pn,indx
logical initc
parameter (pn=1000000)
double precision
1 xc,pc,pnep
real*4 rand
save
common /EDF001/no,initc,xc(0:pn),pc(0:pn),pnep(0:pn)
if(.not. initc) then
write(*,*) 'rEDF: EDF needs to be initiated before use'
stop
endif
indx = no*rand() + 1
rEDF = xc(indx)
return
end
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE NORMQUAD(N,T,W)
C===============================================================================
C
C SUBROUTINE NORMQUAD COMPUTES QUADRATURE NODES AND WEIGHTS
C CORRESPONDING TO THE STANDARD NORMAL DISTRIBUTION
C
C INT(-INF,INF) g(z)f(z)dz = sum(i=1,n) w(i)*g(t(i))
C
C
C AUTHOR....TIM COHN
C DATE......05 OCTOBER 2012
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C N I*4 INPUT NUMBER OF NODES/ORDER OF OTHOGONAL POLYNOMIAL
C T(N) R*8 OUTPUT VECTOR OF NODES
C W(N) R*8 OUTPUT VECTOR OF WEIGHTS
C
C===============================================================================
C THIS SET OF ROUTINES COMPUTES THE NODES T(J) AND WEIGHTS
C W(J) FOR GAUSSIAN-TYPE QUADRATURE RULES WITH PRE-ASSIGNED
C NODES. THESE ARE USED WHEN ONE WISHES TO APPROXIMATE
C
C INTEGRAL (FROM A TO B) F(X) W(X) DX
C
C N
C BY SUM W F(T )
C J=1 J J
C
C (NOTE W(X) AND W(J) HAVE NO CONNECTION WITH EACH OTHER.)
C HERE W(X) IS ONE OF SIX POSSIBLE NON-NEGATIVE WEIGHT
C FUNCTIONS (LISTED BELOW), AND F(X) IS THE
C FUNCTION TO BE INTEGRATED. GAUSSIAN QUADRATURE IS PARTICULARLY
C USEFUL ON INFINITE INTERVALS (WITH APPROPRIATE WEIGHT
C FUNCTIONS), SINCE THEN OTHER TECHNIQUES OFTEN FAIL.
C
C ASSOCIATED WITH EACH WEIGHT FUNCTION W(X) IS A SET OF
C ORTHOGONAL POLYNOMIALS. THE NODES T(J) ARE JUST THE ZEROES
C OF THE PROPER N-TH DEGREE POLYNOMIAL.
C
C INPUT PARAMETERS (ALL REAL NUMBERS ARE IN DOUBLE PRECISION)
C
C KIND AN INTEGER BETWEEN 1 AND 6 GIVING THE TYPE OF
C QUADRATURE RULE:
C
C KIND = 1: LEGENDRE QUADRATURE, W(X) = 1 ON (-1, 1)
C KIND = 2: CHEBYSHEV QUADRATURE OF THE FIRST KIND
C W(X) = 1/SQRT(1 - X*X) ON (-1, +1)
C KIND = 3: CHEBYSHEV QUADRATURE OF THE SECOND KIND
C W(X) = SQRT(1 - X*X) ON (-1, 1)
C KIND = 4: HERMITE QUADRATURE, W(X) = EXP(-X*X) ON
C (-INFINITY, +INFINITY)
C KIND = 5: JACOBI QUADRATURE, W(X) = (1-X)**ALPHA * (1+X)**
C BETA ON (-1, 1), ALPHA, BETA .GT. -1.
C NOTE: KIND=2 AND 3 ARE A SPECIAL CASE OF THIS.
C KIND = 6: GENERALIZED LAGUERRE QUADRATURE, W(X) = EXP(-X)*
C X**ALPHA ON (0, +INFINITY), ALPHA .GT. -1
C===============================================================================
C
IMPLICIT NONE
DOUBLE PRECISION T(*),W(*),ENDPTS(2),B(1000),SQ2,SQPI
INTEGER I,KIND,KPTS,N
DATA KPTS/0/,ENDPTS/2*0.D0/
DATA SQ2/1.41421356237/,SQPI/0.56418958354/
KIND=4
CALL GAUSSQ(KIND, N, 0.D0, 0.D0, KPTS, ENDPTS, B, T, W)
DO 10 I=1,N
T(I) = T(I)*SQ2
W(I) = W(I)*SQPI
10 CONTINUE
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE GAMMAQUAD(N,ALPHA,BETA,T,W)
C===============================================================================
C
C SUBROUTINE GAMMAQUAD COMPUTES QUADRATURE NODES AND WEIGHTS
C CORRESPONDING TO A GAMMA DISTRIBUTION WITH PARAMETERS
C ALPHA, BETA
C
C INT(0,INF) g(y)f(y)dy = sum(i=1,n) w(i)*g(t(i))
C
C
C AUTHOR....TIM COHN
C DATE......05 OCTOBER 2012
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C N I*4 INPUT NUMBER OF NODES/ORDER OF OTHOGONAL POLYNOMIAL
C ALPHA R*8 SHAPE PARAMETER OF GAMMA DISTRIBUTION
C BETA R*8 SCALE PARAMETER OF GAMMA DISTRIBUTION
C T(N) R*8 OUTPUT VECTOR OF NODES
C W(N) R*8 OUTPUT VECTOR OF WEIGHTS
C
C===============================================================================
C
IMPLICIT NONE
DOUBLE PRECISION
1 T(*),W(*),ALPHA,BETA,ENDPTS(2),B2(1000),SQ2,SQPI,DGI,DGAMMA,
2 ALPHAMAX,A,B,C
INTEGER I,KIND,KPTS,N
DATA ALPHAMAX/160.D0/
DATA KPTS/0/,ENDPTS/2*0.D0/
DATA SQ2/1.41421356237/,SQPI/0.56418958354/
IF(ALPHA .LE. ALPHAMAX) THEN
A = ALPHA
B = BETA
C = 0.D0
ELSE
A = ALPHAMAX
B = BETA*SQRT(ALPHA/A)
C = ALPHA*BETA-A*B
ENDIF
KIND=6
CALL GAUSSQ(KIND, N, A-1.D0, 0.D0, KPTS, ENDPTS, B2, T, W)
DGI = 1.D0/DGAMMA(A)
DO 10 I=1,N
T(I) = C + T(I)*B
W(I) = W(I)*DGI
10 CONTINUE
RETURN
END
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
SUBROUTINE CHOL33(S,V,IFLAG)
C===============================================================================
C
C SUBROUTINE CHOL33 COMPUTES A SORT-OF CHOLESKY DECOMPOSITION (NOT LU)
C OF A SYMMETRIC POSITIVE-DEFINITE 3x3 MATRIX WITH THE FOLLOWING
C PROPERTIES:
C
C ASSUME WE START WITH A (Nx3) VARIABLE X (THINK {M,S2,G})
C X HAS 3x3 COVARIANCE MATRIX S AND P=CHOL33(S,P)
C --THE COLUMNS OF XxP ARE ORTHOGONAL
c --THE SECOND COLUMN OF P HAS TWO ZEROES (CHOLESKY ITS COL 1)
C
C N.B. THIS ROUTINE IS USEFUL FOR ONLY ONE PURPOSE: GENERATING
C SAMPLES USING QUADRATURE POINTS WHERE THE MIDDLE VARIABLE
C IS GAMMA AND THE TWO OUTER ONES ARE BOTH NORMAL
C NO CHECK IS DONE TO VERIFY THAT MATRIX HAS NON-ZERO
C MAIN DIAGONAL OR ANYTHING ELSE...
C
C FOR THE ALGEBRA, SEE COHN [2012] (NOTEBOOK 3)
C
C AUTHOR....TIM COHN
C DATE......05 OCTOBER 2012
C
C===============================================================================
C
C PROPERTY OF US GOVERNMENT, U.S. GEOLOGICAL SURVEY
C
C *** DO NOT MODIFY WITHOUT AUTHOR''S CONSENT ***
C
C AUTHOR CAN BE CONTACTED AT: TACOHN@USGS.GOV (703/648-5711)
C
C===============================================================================
C
C S(3,3) R*8 INPUT MATRIX
C V(3,3) R*8 OUTPUT MATRIX, MODIFIED CHOLESKY DECOMPOSITION OF S
C IFLAG I*4 OUTPUT FLAG; 0 IF OK; 1 IF S NOT PSD
C
C THE OUTPUT IS NOT UPPER TRIANGULAR, BUT RATHER UT ONCE COLUMNS 1 AND 2 ARE
C SWAPPED AND ROWS 1 AND 2 ARE SWAPPED.
C
C > chol(var(x))
C [,1] [,2] [,3]
C [1,] 0.938117 0.1361061 -0.04404994
C [2,] 0.000000 0.9575892 -0.07947178
C [3,] 0.000000 0.0000000 0.84128956
C > chol33(var(x))
C [,1] [,2] [,3]
C [1,] 0.9287822 0.0000000 -0.03242836
C [2,] 0.1320116 0.9672135 -0.08487969
C [3,] 0.0000000 0.0000000 0.84128956
C
C===============================================================================
C
IMPLICIT NONE
DOUBLE PRECISION S(3,3),V(3,3),T1
INTEGER IFLAG
IF(S(1,1).LE.0.D0 .OR. S(2,2).LE.0.D0 .OR. S(3,3).LE.0.D0) GOTO 99
V(1,2)=0.D0
V(3,2)=0.D0
V(3,1)=0.D0
V(2,2)=SQRT(S(2,2))
V(2,1)=S(2,1)/V(2,2)
V(2,3)=S(2,3)/V(2,2)
T1=S(1,1)-V(2,1)**2
IF(T1 .LT. 0.D0) GOTO 99
V(1,1)=SQRT(T1)
V(1,3)=(S(3,1)-V(2,3)*V(2,1))/V(1,1)
T1=S(3,3)-V(2,3)**2-V(1,3)**2
IF(T1 .LT. 0.D0) GOTO 99
V(3,3)=SQRT(T1)
IFLAG=0
RETURN
99 CONTINUE
C WRITE(*,*) 'MATRIX S NOT POS-SEMI-D; (CHOL33)'
IFLAG=1
RETURN
END
C****
DOUBLE PRECISION FUNCTION MEANW (N,X,W)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C COMPUTES THE WEIGHTED MEAN OF A VECTOR X
C
IMPLICIT NONE
INTEGER N,I
DOUBLE PRECISION X(*),W(*),WSUM,XSUM
WSUM = 0.D0
XSUM = 0.D0
DO 10 I=1,N
WSUM = WSUM+W(I)
XSUM = XSUM+W(I)*X(I)
10 CONTINUE
MEANW=XSUM/WSUM
RETURN
END
C****
DOUBLE PRECISION FUNCTION COVW (N,X,Y,W)
C****|===|====-====|====-====|====-====|====-====|====-====|====-====|==////////
C
C COMPUTES THE WEIGHTED MEAN OF A VECTOR X
C
IMPLICIT NONE
INTEGER N,I
DOUBLE PRECISION X(*),Y(*),W(*),WSUM,XSUM,MEANW,MX,MY
MX = MEANW(N,X,W)
MY = MEANW(N,Y,W)
WSUM = 0.D0
XSUM = 0.D0
DO 10 I=1,N
WSUM = WSUM+W(I)
XSUM = XSUM+W(I)*(X(I)-MX)*(Y(I)-MY)
10 CONTINUE
COVW = XSUM/WSUM
RETURN
END