標題: Computing the noncentral beta distribution with S-system
作者: Chen, ZY
Chou, YC
管理科學系
Department of Management Science
關鍵字: statistical computing;differential equation;recasting;power law;Taylor series
公開日期: 28-Jun-2000
摘要: Based on the recasting techniques of Rust and Volt (1990, J. Amer. Statist. Assoc. 85, 572-578), an S-system form of the noncentral beta distribution is extended from that of the noncentral F distribution and the other one is newly derived. The computing methods of this distribution have received much attention during the last decade. Its cumulative probabilities, densities, quantiles and related distributional values can be calculated in one S-system form. We demonstrate the new computational results using the S-system numerical solver ESSYNS. Consistent results are obtained from these two S-system forms under various situations. In addition, we compare the performance with an ad hoc computing method by evaluating the cumulative probabilities and densities jointly. The S-system formulation provides significant numerical advantages over its original form. Further properties are also discussed (C) 2000 Elsevier Science B.V. All rights reserved.
URI: http://hdl.handle.net/11536/30454
ISSN: 0167-9473
期刊: COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume: 33
Issue: 4
起始頁: 343
結束頁: 360
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