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Noncentral beta distribution : ウィキペディア英語版
Noncentral beta distribution
|
cdf = (type I) \sum_^ e^ \frac\right)^j} I_x \left(\alpha + j,\beta\right)|
mean = (type I) e^}\frac \frac \right) (see Confluent hypergeometric function)|
variance = (type I) e^}\frac \frac \right) - \mu^2 where \mu is the mean. (see Confluent hypergeometric function)
}}
In probability theory and statistics, the noncentral beta distribution is a continuous probability distribution that is a generalization of the (central) beta distribution.
The noncentral beta distribution (Type I) is the distribution of the ratio
:
X = \frac,

where \chi^2_m(\lambda) is a
noncentral chi-squared
random variable with degrees of freedom ''m'' and noncentrality parameter \lambda, and \chi^2_n is a central chi-squared random variable with degrees of freedom ''n'', independent of \chi^2_m(\lambda).
In this case, X \sim \mbox\left(\frac,\frac,\lambda\right)
A Type II noncentral beta distribution is the distribution
of the ratio
: Y = \frac,

where the noncentral chi-squared variable is in the denominator only.〔 If Y follows
the type II distribution, then X = 1 - Y follows a type I distribution.
== Cumulative distribution function ==

The Type I cumulative distribution function is usually represented as a Poisson mixture of central beta random variables:〔
:
F(x) = \sum_^\infty P(j) I_x(\alpha+j,\beta),

where λ is the noncentrality parameter, ''P''(.) is the Poisson(λ/2) probability mass function, ''\alpha=m/2'' and ''\beta=n/2'' are shape parameters, and I_x(a,b) is the incomplete beta function. That is,
:
F(x) = \sum_^\infty \frac\left(\frac\right)^je^I_x(\alpha+j,\beta).

The Type II cumulative distribution function in mixture form is
:
F(x) = \sum_^\infty P(j) I_x(\alpha,\beta+j).

Algorithms for evaluating the noncentral beta distribution functions are given by Posten and Chattamvelli.〔

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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