Abstract
A recursive formula for evaluating incomplete beta integral is obtained by reducing both parameters simultaneously. Applying this identity, we derive an exact expression for F-cumulative probabilities. An algorithm is then derived by using this expression. Results from a single-precision FORTRAN program by using this algorithm are compared with that using MDFD subroutine of IMSL in both of accuracy and speed for degrees of freedom l = m, n = 500. It is seen that both results coincide with at least 11 significant digits, and the new algorithm is consistently faster than MDFD by 10 to 15 percent.
Original language | English |
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Pages (from-to) | 1191-1201 |
Number of pages | 11 |
Journal | Communications in Statistics Part B: Simulation and Computation |
Volume | 17 |
Issue number | 4 |
DOIs | |
State | Published - Jan 1 1988 |
Externally published | Yes |
Keywords
- F-distribution
- Incomplete beta function
- algorithm
- recursive formula