Self-Validating Computations of Probabilities for Selected Central and Noncentral Univariate Probability Functions

DOI10.2307/2290912MaRDI QIDQ4314932zbMATH OpenOpenAlexFDO

Authors Morgan C. Wang, W. J. Kennedy

Publication date 24 January 1995

Full work available at URL https://doi.org/10.2307/2290912

zbMATH Keywords

automatic differentiationcontinued fractionsdirected roundingguaranteed error boundincomplete betaincomplete gammainterval arithmeticsnoncentral chi-squarednormalpercentilesprobabilitiesself-validating resultsTaylor series integration methodunivariate continuous distributions

Mathematics Subject Classification ID

Distribution theory (60E99) Statistical distribution theory (62E99) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99) Interval and finite arithmetic (65G30)

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Cited in

(7)

• Computing the noncentral gamma distribution, its inverse and the noncentrality parameter
• Computing the noncentral-F distribution and the power of the F-test with guaranteed accuracy
• Verified computation with probabilities
• Interval probabilities and enclosures
• Self-validated Computations for the Probabilities of the Central Bivariate Chi-square Distribution and a BivariateFDistribution. This work partially supported by National Science Foundation grant DMS-9500831
• Probabilities and Large Quantiles of Noncentral Generalized Chi-Square Distributions
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient

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