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Publication Detailed Description
Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral x2 random variable
Journal Title
European Journal of Operational Research
Year (definitive publication)
2018
Language
English
Country
Netherlands
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Abstract
This article proposes a novel recurrence algorithm for computing Nuttall, generalized Marcum, and incomplete Toronto functions as well as truncated and raw moments (of any real order) for a noncentral x2 random variable. The numerical results highlight that the proposed recurrence method offers an excellent speed-accuracy trade-off for a wide variety of meaningful and relevant applications ranging from the operations management and industrial engineering fields to problems encountered in the financial engineering industry.
Acknowledgements
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Keywords
Applied probability,Nuttall functions,Generalized Marcum functions,Incomplete Toronto function,Noncentral x2 truncated and raw moments
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
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