Computation of the Generalized F Distribution
Charles F. Dunkl, Donald E. Ramirez
Abstract
Exact expressions are given for the distribution function of the ratio of a weighted sum of independent chi-squared variables to a single chi-square variable, scaled appropriately. This distribution is the generalization of the classical F distribution to mixtures of chi-squared variables. The distribution is given in terms of the Lauricella functions. The truncation error bounds are given in terms of hypergeometric functions. Applications to detecting joint outliers and Hotelling's misspecified T2 distribution are given.
Create a lesson
Related papers
Sharp mixed Ap-A∞ estimates for sparse operators on filtered and nonhomogeneous measure spaces
Francisco Gonçalves, Emiel Lorist
Lp Decay Estimates for Circular Means of Fractal Measures in R2
Zhenbin Cao, Feilong Guo, Junfeng Li
The divergence set for the wave equation in higher dimensions
Xiumin Du, Terence L. J. Harris, Jianhui Li
Product-profile anti-concentration for block-structured multi-affine polynomials
Evgeny Abakumov, Omer Friedland, Yosef Yomdin
Rigorous analysis of giant magnetic vortex strings
Ovidiu Avadanei, Wilhelm Schlag
Multilinear Mikhlin Multipliers with Degenerate Singularities
Hanaë Vandanjon