An efficient algorithm for computing quantiles of the noncentral chi-squared distribution

Abstract

An efficient algorithm is provided for computing quantiles of the noncentral chi-squared distribution. Newton's method, which requires the evaluations of both of the noncentral chi-squared distribution function and the density, is used. A close relationship between their recursive computing formulas is noted to allow concurrent evaluation of the distribution function and the density. Newton's iterative computation can therefore be greatly speeded up. An example is given to illustrate the usefulness of the algorithm. (C) 1999 Elsevier Science B.V. All rights reserved.