Evaluation of the Noncentral F-Distribution by Numerical Contour Integration

DOI10.1137/0906035MaRDI QIDQ3721767zbMATH OpenOpenAlexFDO

Authors Carl W. Helstrom, James A. Ritcey

Publication date 1985

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0906035

zbMATH Keywords

beta distributionsecant methodcontour integralLaplace's methodtests of linear hypothesesnoncentral F-distributionanalysis of variance and of covariance

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Probabilistic methods, stochastic differential equations (65C99) Analysis of variance and covariance (ANOVA) (62J10) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

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(4)

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• The numerical inversion of the characteristic equation with applications to positive quadratic forms in normal variables
• On the computation and inversion of the cumulative noncentral beta distribution function
• Computing the noncentral-F distribution and the power of the F-test with guaranteed accuracy

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