On the computation and inversion of the cumulative noncentral beta distribution function

DOI10.1016/J.AMC.2019.05.014zbMATH Open1428.33001arXiv1905.07206OpenAlexW2963999482WikidataQ127795510 ScholiaQ127795510MaRDI QIDQ2279583FDOQ2279583

Authors: Amparo Gil, Javier Segura, Nico M. Temme 

Publication date: 13 December 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: The computation and inversion of the noncentral beta distribution $B_{p,q}(x,y)$ (or the noncentral $F$-distribution, a particular case of $B_{p,q}(x,y)$) play an important role in different applications. In this paper we study the stability of recursions satisfied by $B_{p,q}(x,y)$ and its complementary function and describe asymptotic expansions useful for computing the function when the parameters are large. We also consider the inversion problem of finding $x$ or $y$ when a value of $B_{p,q}(x,y)$ is given. We provide approximations to $x$ and $y$ which can be used as starting values of methods for solving nonlinear equations (such as Newton) if higher accuracy is needed.

Full work available at URL: https://arxiv.org/abs/1905.07206

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zbMATH Keywords

asymptotic expansionsinversionnumerical computationnoncentral beta distribution

Mathematics Subject Classification ID

Computation of special functions and constants, construction of tables (65D20) Gamma, beta and polygamma functions (33B15) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

Cites Work

• \texttt{GammaCHI}: a package for the inversion and computation of the gamma and chi-square cumulative distribution functions (central and noncentral)
• Numerical Methods for Special Functions
• Uniform asymptotic expansions for hypergeometric functions with large parameters. III
• Asymptotic methods for integrals
• Numerically satisfactory solutions of Kummer recurrence relations
• A note on the numerical solution of linear recurrence relations
• Evaluation of the Noncentral F-Distribution by Numerical Contour Integration
• Computing the noncentral-\(F\) distribution and the power of the \(F\)-test with guaranteed accuracy
• Asymptotic inversion of the Erlang B formula

Cited In (6)

• Asymptotic inversion of the binomial and negative binomial cumulative distribution functions
• A new asymptotic representation and inversion method for the Student's t distribution
• Comparing S-system with existing methods for the computation of noncentral beta distribution
• \texttt{GammaCHI}: a package for the inversion and computation of the gamma and chi-square cumulative distribution functions (central and noncentral)
• Efficient algorithms for the inversion of the cumulative central beta distribution
• New asymptotic representations of the noncentral t‐distribution

Uses Software

• Digital Library of Mathematical Functions
• GammaCHI

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