Chi-square distribution with k degrees of freedom is a distribution of the sum of squares of k random variables having normal distribution with mean equal to 0 and standard deviation equal to 1.
Probability density function for chi-square distribution is:
Cumulative distribution function of the the chi-square distribution is:
ChiSquareDistribution and ChiSquareCDistribution subroutines are used to calculate the areas under the left and right tails of the graph (i.e. to calculate cumulative distribution function and its own complement). InvChiSquareCDistribution subroutine calculates the inverse cumulative distribution function. Subroutines use the above mentioned formula which calculates cumulative distribution function by using an incomplete gamma-function.
This article is licensed for personal use only.
ALGLIB Project offers you two editions of ALGLIB:
ALGLIB Free Edition:
+delivered for free
+offers full set of numerical functionality
+extensive algorithmic optimizations
-no multithreading
-non-commercial license
ALGLIB Commercial Edition:
+flexible pricing
+offers full set of numerical functionality
+extensive algorithmic optimizations
+high performance (SMP, SIMD)
+commercial license with support plan
Links to download sections for Free and Commercial editions can be found below: