Computation of the Generalized F Distribution

Details Computation of the Generalized F Distribution Computation of the Generalized F Distribution

1999-06-14

arxiv.org/abs/math/9906095v1

Dunkl, C. F. and Ramirez, D. E. (2001), Computation of the Generalized F Distribution. Australian & New Zealand Journal of Sta

Mathematics

Classical Analysis and ODEs

Latex, 15 pages

Scientific paper

10.1111/1467-842X.00152

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 T^2 distribution are given.

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