Algorithm for calculating the noncentral chi-square distribution

DOI10.1109/18.761294MaRDI QIDQ4701393zbMATH OpenOpenAlexFDO

Authors Arthur H. M. Ross

Publication date 21 November 1999

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.761294

zbMATH Keywords

\(Q\)-functionchi-square distributionconvergenceHelstrom's saddlepoint integration methodmodified Bessel functionNeumann seriesnumerical resultsParl's method

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17)

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• An efficient algorithm for computing quantiles of the noncentral chi-squared distribution.
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
• Computation of the expected value of a function of a chi-distributed random variable
• On the efficient calculation of a linear combination of chi-square random variables with an application in counting string vacua
• An algorithm for generating chi random variables
• Holonomic gradient method for distribution function of a weighted sum of noncentral chi-square random variables
• On the noncentral chi-square distribution -- a computer-aided approach
• scientific article; zbMATH DE number 716304 (Why is no real title available?)
• An efficient algorithm for computing the noncentrality parameters of chi-squared tests
• Two noncentral chi-square generalizations
• Algorithm 939
• Probability Distribution Functions of the Sum of Squares of Random Variables in the Non-zero Mathematical Expectations
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient

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