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Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable

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  • Dias, José Carlos
  • Vidal Nunes, João Pedro

Abstract

This article proposes a novel recurrence algorithm for computing Nuttall, generalized Marcum, and incomplete Toronto functions as well as truncated and raw moments (of any real order) for a noncentral χ2 random variable. The numerical results highlight that the proposed recurrence method offers an excellent speed-accuracy trade-off for a wide variety of meaningful and relevant applications ranging from the operations management and industrial engineering fields to problems encountered in the financial engineering industry.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:ejores:v:265:y:2018:i:2:p:559-570
    DOI: 10.1016/j.ejor.2017.08.002
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    References listed on IDEAS

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