ncx2mixtcdf computes cumulative distribution function of a linear combination of non-central chi-square +N(0,s)
Given random variable defined as Q = \lambda_1 \chi^2_1 + \lambda_2 \chi_2 + ... + \lambda_k \chi^2_k +\sigma Z
where \chi^2_1, ..., \chi^2_k are k non central chi squared random variables, with non centrality parameters \delta=(\delta_1, ..., \delta_k) and degrees of freedom df=(df_1, ..., df_k).
and Z is a standard normal random variable, the purpose of this routine is to compute F_Q(x | df, delta) = P(Q < x| df, delta) , that is the cdf of Q evaluated at x.
Davies, R. (1973), Numerical inversion of a characteristic function, "Biometrika", Vol. 60, pp. 415-417.
Davies, R. (1980), The distribution of a linear combination of chi-square random variables, "Applied Statistics", Vol. 29, pp. 323-333.
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ncpci |
normBoxCox |
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Functions |
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