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Noncentral F-distribution : ウィキペディア英語版
Noncentral F-distribution

In probability theory and statistics, the noncentral ''F''-distribution is a continuous probability distribution that is a generalization of the (ordinary) ''F''-distribution. It describes the distribution of the quotient (''X''/''n''1)/(''Y''/''n''2), where the numerator ''X'' has a noncentral chi-squared distribution with ''n''1 degrees of freedom and the denominator ''Y'' has a central chi-squared distribution ''n''2 degrees of freedom. It is also required that ''X'' and ''Y'' are statistically independent of each other.
It is the distribution of the test statistic in analysis of variance problems when the null hypothesis is false. The noncentral ''F''-distribution is used to find the power function of such a test.
== Occurrence and specification ==
If X is a noncentral chi-squared random variable with noncentrality parameter \lambda and \nu_1 degrees of freedom, and Y is a chi-squared random variable with \nu_2 degrees of freedom that is statistically independent of X, then
:
F=\frac

is a noncentral ''F''-distributed random variable.
The probability density function (pdf) for the noncentral ''F''-distribution is〔S. Kay, Fundamentals of Statistical Signal Processing: Detection Theory, (New Jersey: Prentice Hall, 1998), p. 29.〕
:
p(f)
=\sum\limits_^\infty\frac,\frac+k\right) k!}
\left(\frac\right)^+k}
\left(\frac\right)^+k}f^

when f\ge0 and zero otherwise.
The degrees of freedom \nu_1 and \nu_2 are positive. The noncentrality parameter \lambda is nonnegative.
The term B(x,y) is the beta function, where
:
B(x,y)=\frac.

The cumulative distribution function for the noncentral ''F''-distribution is
:
F(x|d_1,d_2,\lambda)=\sum\limits_^\infty\left(\frac\lambda\right)^j}e^}\right)I\left(\frac\bigg|\frac+j,\frac\right)

where I is the regularized incomplete beta function.
The mean and variance of the noncentral ''F''-distribution are
:
\operatorname\left()=
\begin
\frac &\nu_2>2\\
\text &\nu_2\le2\\
\end

and
:
\operatorname\left()=
\begin
2\frac\left(\frac\right)^2
&\nu_2>4\\
\text
&\nu_2\le4.\\
\end


抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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