Calculating the density and distribution function for the singly and doubly noncentral F

Authors:
Ronald W. Butler;Marc S. Paolella
Affiliations:
Department of Statistics, Colorado State University, Fort Collins, CO 80525, USA;Institute of Statistics and Econometrics, Kiel University, D-24098, Kiel, Germany. paolella@stat-econ.uni-kiel.de
Venue:
Statistics and Computing
Year:
2002

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Abstract

Simple, closed form saddlepoint approximations for the distribution and density of the singly and doubly noncentral F distributions are presented. Their overwhelming accuracy is demonstrated numerically using a variety of parameter values. The approximations are shown to be uniform in the right tail and the associated limitating relative error is derived. Difficulties associated with some algorithms used for “exact” computation of the singly noncentral F are noted.