Computation of the Generalized F Distribution

DOI10.1111/1467-842X.00152MaRDI QIDQ4540772zbMATH OpenOpenAlexFDO

Authors Charles F. Dunkl, Donald E. Ramirez

Publication date 28 July 2002

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/9906095

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10)

Abstract: Exact expressions are given for the distribution function of the ratio of a weighted sum of independent chi-squared variables to a single chi-square variable, scaled appropriately. This distribution is the generalization of the classical F distribution to mixtures of chi-squared variables. The distribution is given in terms of the Lauricella functions. The truncation error bounds are given in terms of hypergeometric functions. Applications to detecting joint outliers and Hotelling's misspecified T^2 distribution are given.

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