Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral t and the distribution of the square of the sample multiple correlation coefficient
From MaRDI portal
Publication:951922
Recommendations
- A unified way to represent and compute the cumulative distribution function for noncentral \(t, F\), and \(\chi^2\)
- Another derivation of two algorithms for the noncentral x2and f distributions
- Algorithm for calculating the noncentral chi-square distribution
- An efficient algorithm for computing quantiles of the noncentral chi-squared distribution.
- On the noncentral chi-square distribution -- a computer-aided approach
Cites work
- Algorithm AS 226: Computing Noncentral Beta Probabilities
- An Efficient Recursive Algorithm for Computing the Distribution Function and Non-Centrality Parameter of the Non-Central F-distribution
- Comparison of Approximation Methods for Computing Tolerance Factors for a Multivariate Normal Population
- Computing the Non-Central Beta Distribution Function
- Evaluation of the Noncentral F-Distribution by Numerical Contour Integration
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- New Methods for One-Sided Tolerance Limits for a One-Way Balanced Random-Effects ANOVA Model
- Self-Validating Computations of Probabilities for Selected Central and Noncentral Univariate Probability Functions
- Statistical Inference for Pr(Y < X): The Normal Case
- Tables for Constructing Confidence Limits on the Multiple Correlation Coefficient
Cited in
(22)- Editorial: Advances in mixture models
- Approximate arbitrage-free option pricing under the SABR model
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Valuing American-style options under the CEV model: an integral representation based method
- A simple test for zero multiple correlation coefficient in high-dimensional normal data using random projection
- A note on options and bubbles under the CEV model: implications for pricing and hedging
- Computing the noncentral gamma distribution, its inverse and the noncentrality parameter
- Classes of elementary function solutions to the CEV model I
- Computing the noncentral-F distribution and the power of the F-test with guaranteed accuracy
- Series for student's non-central t under exponential sampling with comments due to H. P. Mulholland
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- A unified way to represent and compute the cumulative distribution function for noncentral \(t, F\), and \(\chi^2\)
- Valuation of bond options under the CIR model: some computational remarks
- On the computation of option prices and Greeks under the CEV model
- A note on computing extreme tail probabilities of the noncentral t-distribution with large noncentrality parameter
- Computing the noncentrality parameter to the distribution of the square of the sample multiple correlation coefficient
- A (non-central) chi-squared mixture of non-central chi-squareds is (non-central) chi-squared and related results, corollaries and applications
- Pricing levered warrants under the CEV diffusion model
- On the computation of the distribution of the square of the sample multiple correlation coefficient
- An exact expression for the Behrens-Fisher distribution with applications
- A jump to default extended CEV model: an application of Bessel processes
- Implementing Bayesian predictive procedures: the \(K\)-prime and \(K\)-square distributions
This page was built for publication: Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q951922)
