English

New asymptotic representations of the noncentral $t$-distribution

Probability 2023-10-17 v2 Classical Analysis and ODEs

Abstract

New asymptotic approximations of the non-central tt distribution are given, a generalization of the Student's tt distribution. Using new integral representations, we give new asymptotic expansions for large values of the noncentrality parameter but also for large values of the degrees of freedom parameter. In some case we accept more than one large parameter. These results are in terms of elementary functions, but also in terms of the complementary error function and the incomplete gamma function. A number of numerical tests demonstrate the performance of the asymptotic approximations.

Keywords

Cite

@article{arxiv.2306.06681,
  title  = {New asymptotic representations of the noncentral $t$-distribution},
  author = {Amparo Gil and Javier Segura and Nico M Temme},
  journal= {arXiv preprint arXiv:2306.06681},
  year   = {2023}
}

Comments

31 pages, 2 figures