gennch.f

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00001       REAL FUNCTION gennch(df,xnonc)
00002 C**********************************************************************
00003 C
00004 C     REAL FUNCTION GENNCH( DF, XNONC )
00005 C           Generate random value of Noncentral CHIsquare variable
00006 C
00007 C
00008 C                              Function
00009 C
00010 C
00011 
00012 C     Generates random deviate  from the  distribution  of a  noncentral
00013 C     chisquare with DF degrees  of freedom and noncentrality  parameter
00014 C     XNONC.
00015 C
00016 C
00017 C                              Arguments
00018 C
00019 C
00020 C     DF --> Degrees of freedom of the chisquare
00021 C            (Must be >= 1.0)
00022 C                         REAL DF
00023 C
00024 C     XNONC --> Noncentrality parameter of the chisquare
00025 C               (Must be >= 0.0)
00026 C                         REAL XNONC
00027 C
00028 C
00029 C                              Method
00030 C
00031 C
00032 C     Uses fact that  noncentral chisquare  is  the  sum of a  chisquare
00033 C     deviate with DF-1  degrees of freedom plus the  square of a normal
00034 C     deviate with mean sqrt(XNONC) and standard deviation 1.
00035 C
00036 C**********************************************************************
00037 C     .. Scalar Arguments ..
00038       REAL df,xnonc
00039 C     ..
00040 C     .. External Functions ..
00041 C     JJV changed these to call SGAMMA and SNORM directly
00042 C      REAL genchi,gennor
00043 C      EXTERNAL genchi,gennor
00044       REAL sgamma,snorm
00045       EXTERNAL sgamma,snorm
00046 C     ..
00047 C     .. Intrinsic Functions ..
00048       INTRINSIC sqrt
00049 C     ..
00050 C     JJV changed abort to df < 1, and added case: df = 1 
00051 C     .. Executable Statements ..
00052       IF (.NOT. (df.LT.1.0.OR.xnonc.LT.0.0)) GO TO 10
00053       WRITE (*,*) 'DF < 1 or XNONC < 0 in GENNCH - ABORT'
00054       WRITE (*,*) 'Value of DF: ',df,' Value of XNONC',xnonc
00055       CALL XSTOPX ('DF < 1 or XNONC < 0 in GENNCH - ABORT')
00056 
00057 C     JJV changed this to call SGAMMA and SNORM directly
00058 C      gennch = genchi(df-1.0) + gennor(sqrt(xnonc),1.0)**2
00059 
00060  10   IF (df.GE.1.000001) GO TO 20
00061 C     JJV case DF = 1.0
00062       gennch = (snorm() + sqrt(xnonc))**2
00063       GO TO 30
00064 
00065 C     JJV case DF > 1.0
00066  20   gennch = 2.0*sgamma((df-1.0)/2.0) + (snorm() + sqrt(xnonc))**2
00067  30   RETURN
00068       
00069       END
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