Function mrpt::math::noncentralChi2CDF

Defined in File distributions.h

Function Documentation

double mrpt::math::noncentralChi2CDF(unsigned int degreesOfFreedom, double noncentrality, double arg)

Cumulative non-central chi square distribution (approximate).

Computes approximate values of the cumulative density of a chi square distribution with degreesOfFreedom, and noncentrality parameter noncentrality at the given argument arg, i.e. the probability that a random number drawn from the distribution is below arg It uses the approximate transform into a normal distribution due to Wilson and Hilferty (see Abramovitz, Stegun: “Handbook of Mathematical Functions”, formula 26.3.32). The algorithm’s running time is independent of the inputs. The accuracy is only about 0.1 for few degrees of freedom, but reaches about 0.001 above dof = 5.