[Rd] Reciprocal Mill's Ratio

From: <maj_at_stats.waikato.ac.nz>
Date: Fri, 14 Sep 2007 09:54:09 +1200 (NZST)


I believe that this may be more appropriate here in r-devel than in r-help.

The normal hazard function, or reciprocal Mill's Ratio, may be obtained in R as dnorm(z)/(1 - pnorm(z)) or, better, as dnorm(z)/pnorm(-z) for small values of z. The latter formula breaks dowm numerically for me (running R 2.4.1 under Windows XP 5.1 SP 2) for values of z near 37.4 or greater.

Looking at the pnorm documentation I see that it is based on Cody (1993) and thence, going one step further back, on Cody (1969). Consulting Cody (1969) I see that the algorithm for pnorm(z) [or actually erf(z)] is actually based on rational function approximations for the reciprocal Mill's ratio itself, as I rather expected.

I wonder if anyone has dug out a function for the reciprocal Mill's ratio out of the pnorm() code? Anticipating the obvious response I don't believe that this would be one of the things I might be good at!

Murray Jorgensen

References

Cody, W. D. (1993)
Algorithm 715: SPECFUN – A portable FORTRAN package of special function routines and test drivers.
ACM Transactions on Mathematical Software 19, 22–32.

Cody, W. D. (1969)
Rational Chebyshev Approximations for the Error Function Mathematics of Computation, Vol. 23, No. 107. (Jul., 1969), pp. 631-637.



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