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

DOI10.1016/J.AMC.2019.05.014MaRDI QIDQ2279583zbMATH OpenOpenAlexWikidataFDO

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, https://ir.cwi.nl/pub/28819

zbMATH Keywords

asymptotic expansionsinversionnoncentral beta distributionnumerical computation

Mathematics Subject Classification ID

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

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.

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Cites work

• \texttt{GammaCHI}: a package for the inversion and computation of the gamma and chi-square cumulative distribution functions (central and noncentral)
• 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

Cited in

(13)

• Computing the noncentral beta distribution with S-system.
• Asymptotic inversion of the binomial and negative binomial cumulative distribution functions
• 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)
• Applying series expansion to the inverse beta distribution to find percentiles of the F -distribution
• On using newton's method for computing the noncentrality parameter of the noncentral f distribution
• Efficient algorithms for the inversion of the cumulative central beta distribution
• A new asymptotic representation and inversion method for the Student's t distribution
• New asymptotic representations of the noncentral t‐distribution
• A third-order iterative algorithm for inversion of cumulative central beta distribution
• A numerical algorithm for the computation of the noncentral beta distribution function
• Asymptotic expansions relating to the distribution of the product of correlated normal random variables
• Asymptotic analysis of the normal inverse Gaussian cumulative distribution

Describes a project that uses

Uses Software

• GammaCHI
• DLMF

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