Computation of the Generalized F Distribution

DOI10.1111/1467-842X.00152zbMATH Open0990.62010arXivmath/9906095OpenAlexW2138565795MaRDI QIDQ4540772FDOQ4540772

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)

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.

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

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Mathematics Subject Classification ID

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

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• The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
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• Testing for constancy in varying coefficient models
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• Control of the truncation errors for generalized \(F\) distributions
• Title not available (Why is that?)

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