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An efficient algorithm for computing quantiles of the noncentral chi-squared distribution

โœ Scribed by Cherng G. Ding

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
81 KB
Volume
29
Category
Article
ISSN
0167-9473

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โœฆ Synopsis

An e cient algorithm is provided for computing quantiles of the noncentral chi-squared distribution. Newton's method, which requires the evaluations of both of the noncentral chi-squared distribution function and the density, is used. A close relationship between their recursive computing formulas is noted to allow concurrent evaluation of the distribution function and the density. Newton's iterative computation can therefore be greatly speeded up. An example is given to illustrate the usefulness of the algorithm.

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โœ S. Rombouts; K. Heyde ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 99 KB

An algorithm is presented for the efficient and accurate computation of the coefficients of the characteristic polynomial of a general square matrix. The algorithm is especially suited for the evaluation of canonical traces in determinant quantum Monte-Carlo methods.