Calculating the density and distribution function for the singly and doubly noncentral F

被引：15
|
作者：
Butler, RW
Paolella, MS
机构：
[1] Colorado State Univ, Dept Stat, Ft Collins, CO 80525 USA
[2] Univ Kiel, Inst Stat & Econometr, D-24098 Kiel, Germany
来源：
STATISTICS AND COMPUTING | 2002年 / 12卷 / 01期
基金：
美国国家科学基金会;
关键词：
design of experiments; noncentral F; saddlepoint approximation; statistical computing;
D O I：
10.1023/A:1013160019893
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
Simple, closed form saddlepoint approximations for the distribution and density of the singly and doubly noncentral F distributions are presented. Their overwhelming accuracy is demonstrated numerically using a variety of parameter values. The approximations are shown to be uniform in the right tail and the associated limitating relative error is derived. Difficulties associated with some algorithms used for "exact" computation of the singly noncentral F are noted.
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页码：9 / 16
页数：8
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