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On some accurate bounds for the quantiles of a non-central chi squared distribution

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  • Robert, Christian

Abstract

The quantiles of the central and non-central chi squared distributions cannot be expressed as explicit functions of the non-centrality parameter. We give in this paper an approximation of these quantiles in terms of the non-centrality parameter; this approximation is surprisingly good for the median.

Suggested Citation

  • Robert, Christian, 1990. "On some accurate bounds for the quantiles of a non-central chi squared distribution," Statistics & Probability Letters, Elsevier, vol. 10(2), pages 101-106, July.
    • Handle: RePEc:eee:stapro:v:10:y:1990:i:2:p:101-106
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    Cited by:

    1. Melnykova, Anna & Reynaud-Bouret, Patricia & Samson, Adeline, 2024. "Non-asymptotic statistical tests of the diffusion coefficient of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
    2. 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.

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