On using Newton's method for computing the noncentrality parameter of the noncentral F distribution

Cherng G. Ding*

*Corresponding author for this work

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

This article deals with how to enhance computational efficiency of Newton's method for computing the noncentrality parameter of the noncentral F distribution. Some relationship between recurrence formulas for computing the noncentral F distribution function and its derivative with respect to the noncentrality parameter is investigated. Use of the relationship discovered can combine the evaluations of the noncentral F distribution function and its derivative, and therefore can reduce the amount of computations during Newton's process. An efficient algorithm featuring this finding is provided in a step-by-step form.

Original languageEnglish
Pages (from-to)259-268
Number of pages10
JournalCommunications in Statistics Part B: Simulation and Computation
Volume26
Issue number1
DOIs
StatePublished - 1 Jan 1997

Keywords

  • Newton's method
  • Noncentral beta distribution
  • Noncentral F distribution

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