Abstract
Simple, closed form saddlepoint approximations for the distribution and density of the singly and doubly noncentral F distributions are presented. Their overwhelming accuracy is demonstrated numerically using a variety of parameter values. The approximations are shown to be uniform in the right tail and the associated limitating relative error is derived. Difficulties associated with some algorithms used for “exact” computation of the singly noncentral F are noted.
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Butler, R.W., Paolella, M.S. Calculating the density and distribution function for the singly and doubly noncentral F. Statistics and Computing 12, 9–16 (2002). https://doi.org/10.1023/A:1013160019893
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DOI: https://doi.org/10.1023/A:1013160019893