DocumentCode
1502362
Title
Algorithm for calculating the noncentral chi-square distribution
Author
Ross, Arthur H M
Author_Institution
Lucent Technol., Whippany, NJ, USA
Volume
45
Issue
4
fYear
1999
fDate
5/1/1999 12:00:00 AM
Firstpage
1327
Lastpage
1333
Abstract
This article presents a new algorithm for evaluating the noncentral chi-square distribution based on Parl´s (1980) method of Neumann series expansion. It is applicable to both even and odd degrees of freedom, unlike most prior work, which has been directed at the even cases. Convergence tests and procedures for detection of loss of precision are given. The overall method is extremely simple to program, accurate to many decimal places where applicable, and efficient over a wide range of parameters. The method is reliable provided the proper expansion is chosen based on the parameters
Keywords
convergence of numerical methods; floating point arithmetic; normal distribution; random processes; series (mathematics); IEEE floating point standard; Neumann series expansion; Parl´s method; Q-function; algorithm; convergence tests; even degrees of freedom; noncentral chi-square distribution; normal distribution; odd degrees of freedom; parameters; precision loss detection; random variables; Convergence; Degradation; Robustness; Roundoff errors; Statistics; Testing;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/18.761294
Filename
761294
Link To Document