Asymptotic and numerical aspects of the noncentral chi-square distribution

DOI10.1016/0898-1221(93)90198-5MaRDI QIDQ2365952zbMATH OpenOpenAlexFDO

Authors Nico M. Temme

Publication date 29 June 1993

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://ir.cwi.nl/pub/2307

zbMATH Keywords

error functionnormal distributionasymptotic expansionsintegral representationrecurrence relationsmodified Bessel functionincomplete gamma functionsnoncentral chi-square distributiongeneralized Marcum \(Q\)-function

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Probabilistic methods, stochastic differential equations (65C99) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Gamma, beta and polygamma functions (33B15) Applications of hypergeometric functions (33C90)

Recommendations

• Two noncentral chi-square generalizations
• A note on the noncentral chi-square distribution
• scientific article; zbMATH DE number 2101520
• CDF of non-central \(\chi^2\) distribution revisited. Incomplete hypergeometric type functions approach
• A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles

Cites work

• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 44103 (Why is no real title available?)
• scientific article; zbMATH DE number 3998425 (Why is no real title available?)
• A Double Integral Containing the Modified Bessel Function: Asymptotics and Computation
• An error analysis of an algorithm for Marcum's Q-function
• Computation of the Noncentral Chi-Square Distribution*
• Computational Aspects of Three-Term Recurrence Relations
• Some integrals involving the<tex>Q_M</tex>function (Corresp.)
• Uniform Asymptotic Expansions for Saddle Point Integrals-Application to a Probability Distribution Occurring in Noise Theory

Cited in

(14)

• Incomplete Exponential and Hypergeometric Functions with Applications to the Non Central χ²-Distribution
• New expression for CDF of \(\chi_{\nu}^{\prime 2}(\lambda)\) distribution and Marcum \(Q_1\) function
• Approximate arbitrage-free option pricing under the SABR model
• Monotonicity properties and bounds for the chi-square and gamma distributions
• scientific article; zbMATH DE number 2101520 (Why is no real title available?)
• CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT
• CDF of non-central \(\chi^2\) distribution revisited. Incomplete hypergeometric type functions approach
• Complete asymptotic expansions related to the probability density function of the \(\chi^2\)-distribution
• Algorithm 939
• Refined normal approximations for the central and noncentral chi-square distributions and some applications
• On the computation of moments of the partial non-central chi-square distribution function.
• On new formulas for the cumulative distribution function of the noncentral chi-square distribution
• The asymptotic and numerical inversion of the Marcum \(Q\)-function
• Asymptotic expansions for large deviation probabilities of noncentral generalized chi-square distributions

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