On the representation and computational aspects of the distribution of a linear combination of independent noncentral chi-squared random variables

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2024-11-01 DOI:10.1016/j.spl.2024.110291

Alfred Kume , Tomonari Sei , Andrew T.A. Wood

引用次数: 0

Abstract

This article presents two new results relevant to a linear combination of

χ^{2}

random variables. The first result expresses the cumulative distribution function as a simple multiple of a certain tilted density. The second result shows that in important cases the inversion integral for the density may be expressed as a sum of relatively simple real integrals which, using suitable numerical methods, are straightforward to compute quickly and accurately.

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关于独立非中心秩方随机变量线性组合分布的表示和计算问题

本文提出了两个与 χ2 随机变量线性组合相关的新结果。第一个结果将累积分布函数表示为某个倾斜密度的简单倍数。第二个结果表明，在重要情况下，密度的反演积分可以表示为相对简单的实积分之和，使用合适的数值方法，可以直接快速准确地计算。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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