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

DOI10.1016/J.AMC.2019.05.014MaRDI QIDQ2279583zbMATHOpenAlexWikidataFDO

Authors Amparo Gil, Javier Segura, Nico M. Temme

Publication date 13 December 2019

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

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

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)

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.

Recommendations

• Efficient algorithms for the inversion of the cumulative central beta distribution
• Asymptotic inversion of the incomplete beta function
• scientific article; zbMATH DE number 1131738
• Asymptotic inversion of the binomial and negative binomial cumulative distribution functions
• Computing the noncentral beta distribution with S-system.

Cites work

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

Cited in

(7)

• 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)
• Asymptotic inversion of the binomial and negative binomial cumulative distribution functions
• A new asymptotic representation and inversion method for the Student's t distribution
• A third-order iterative algorithm for inversion of cumulative central beta distribution
• Efficient algorithms for the inversion of the cumulative central beta distribution
• New asymptotic representations of the noncentral t‐distribution

Describes a project that uses

Uses Software

• DLMF
• GammaCHI

This page was built for publication: On the computation and inversion of the cumulative noncentral beta distribution function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2279583)