Computation of the Noncentral Gamma Distribution

Authors:
L. Knüsel;B. Bablok
Affiliations:
-;-
Venue:
SIAM Journal on Scientific Computing
Year:
1996

Citing 0
Cited 5

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Abstract

This paper deals with the computation of upper and lower tail probabilities of the noncentral gamma distribution and with the computation of the noncentrality parameter given the upper or lower tail probability. The tail probabilities are computed in an efficient and numerically stable manner with a given relative accuracy even for small probabilities and for a wide range of parameters where other algorithms found in the statistical literature fail. The basic ideas in this paper can also be applied to the noncentral chisquare, beta, $F$, and $t$ distributions.