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Computation of the Generalized F Distribution
Author(s) -
Dunkl Charles F.,
Ramirez Donald E.
Publication year - 2001
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00152
Subject(s) - mathematics , generalization , noncentral chi squared distribution , f distribution , outlier , truncation (statistics) , distribution (mathematics) , computation , hypergeometric function , ratio distribution , variable (mathematics) , hypergeometric distribution , joint probability distribution , mean squared error , square (algebra) , statistics , mathematical analysis , probability distribution , asymptotic distribution , algorithm , geometry , estimator
Exact expressions for the cumulative distribution function of a random variable of the form ( α 1 X 1 + α 2 X 2 )/ Y are given whereX 1 , X 2 and Y are independent chi‐squared random variables. The expressions are applied to the detection of joint outliers and Hotelling's mis‐specified T 2 distribution.