Inverse Gamma Issue

[Janes, Robert (Columbus)]

I sent an e-mail a couple weeks ago about a fix I came up with for a problem 
with the inverse Chi-squared function.  The problem was in the inverse gamma 
function and I suggested increasing the iteration limit to 50.  That fixed the 
immediate problem but then we found another problem case which this did not fix.

The IMSL documentation for this stated that for large degrees of freedom after 
100 iterations the code returns the present iteration value as the best answer 
it can supply.  I implemented this in the gamminv.c code and found excellent 
agreement with IMSL when running side-by-side comparisons for degrees of 
freedom from 1,000 to 32,000 in steps of 1,000.  You might consider this change 
over the one I suggested earlier.

See the attached, updated source code.


Rob Janes

SGS Transportation

Senior Software Engineer

SGS – CMX

2860 N. National Road Suite A

US – 47201 – Columbus, Indiana

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gammainv.c
Description: gammainv.c