A Likelihood-Based Approximation to the Cumulative Distribution Function of the NoncentraltDistribution

DOI10.1080/03610910902785753MaRDI QIDQ3625375zbMATH OpenOpenAlexFDO

Authors Fang Chang, Augustine Wong

Publication date 12 May 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910902785753

zbMATH Keywords

\(p\)-value functioncanonical parameterexponential family modelLugannani and Rice formulasigned log-likelihood ratio statistic

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• Approximate marginal densities of nonlinear functions
• Approximating the F-distribution via a general version of the modified signed log-likelihood ratio statistic
• Approximations of marginal tail probabilities and inference for scalar parameters
• Approximations of marginal tail probabilities for a class of smooth functions with applications to Bayesian and conditional inference
• Modified signed log likelihood ratio
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximations for the doubly noncentral t distribution
• Tail probabilities from observed likelihoods

Cited in

(3)

• Improved likelihood inference on testing the difference of non centrality parameters of two independent non central \(t\) distributions with identical degrees of freedom
• A higher order approximation to a percentage point of the distribution of a noncentral t-statistic without the normality assumption
• Approximate calculation method for noncentral t-distribution quantile

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