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Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral t and the distribution of the square of the sample multiple correlation coefficient

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  • Benton, Denise
  • Krishnamoorthy, K.

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  • Benton, Denise & Krishnamoorthy, K., 2003. "Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral t and the distribution of the square of the sample multiple correlation coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 43(2), pages 249-267, June.
    • Handle: RePEc:eee:csdana:v:43:y:2003:i:2:p:249-267
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    References listed on IDEAS

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    1. Russell V. Lenth, 1989. "Cumulative Distribution Function of the Noncentral T Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 38(1), pages 185-189, March.
    2. Cherng G. Ding, 1992. "Computing the Non‐Central χ2 Distribution Function," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 478-482, June.
    3. Russell V. Lenth, 1987. "Computing Noncentral Beta Probabilities," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(2), pages 241-244, June.
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    Cited by:

    1. Poitevineau, Jacques & Lecoutre, Bruno, 2010. "Implementing Bayesian predictive procedures: The K-prime and K-square distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 724-731, March.
    2. Jia‐Hau Guo & Lung‐Fu Chang, 2020. "Repeated Richardson extrapolation and static hedging of barrier options under the CEV model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 974-988, June.
    3. Izabela Oliveira & Daniel Ferreira, 2013. "Computing the noncentral gamma distribution, its inverse and the noncentrality parameter," Computational Statistics, Springer, vol. 28(4), pages 1663-1680, August.
    4. Yang, Nian & Chen, Nan & Liu, Yanchu & Wan, Xiangwei, 2017. "Approximate arbitrage-free option pricing under the SABR model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 198-214.
    5. Ali Baharev & Hermann Schichl & Endre Rév, 2017. "Computing the noncentral-F distribution and the power of the F-test with guaranteed accuracy," Computational Statistics, Springer, vol. 32(2), pages 763-779, June.
    6. Najarzadeh, Dariush, 2020. "A simple test for zero multiple correlation coefficient in high-dimensional normal data using random projection," Computational Statistics & Data Analysis, Elsevier, vol. 148(C).
    7. Alex N Nguyen Ba & Bob Strome & Jun Jie Hua & Jonathan Desmond & Isabelle Gagnon-Arsenault & Eric L Weiss & Christian R Landry & Alan M Moses, 2014. "Detecting Functional Divergence after Gene Duplication through Evolutionary Changes in Posttranslational Regulatory Sequences," PLOS Computational Biology, Public Library of Science, vol. 10(12), pages 1-15, December.
    8. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
    9. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    10. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
    11. José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020. "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, vol. 23(3), pages 249-272, October.
    12. Dias, José Carlos & Vidal Nunes, João Pedro, 2018. "Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable," European Journal of Operational Research, Elsevier, vol. 265(2), pages 559-570.
    13. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
    14. Carlos Miguel Glória & José Carlos Dias & Aricson Cruz, 2024. "Pricing levered warrants under the CEV diffusion model," Review of Derivatives Research, Springer, vol. 27(1), pages 55-84, April.

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