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Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process

โœ Scribed by S. Dyrting

Book ID
111578626
Publisher
Springer US
Year
2004
Tongue
English
Weight
110 KB
Volume
24
Category
Article
ISSN
1572-9974

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๐Ÿ“œ SIMILAR VOLUMES

An efficient algorithm for computing qua
An efficient algorithm for computing quantiles of the noncentral chi-squared distribution
โœ Cherng G. Ding ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 81 KB

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 i