Approximating the F distribution via a general version of the modified signed log-likelihood ratio statistic

A.C.M. Wong

Computational Statistics & Data Analysis, 2008, vol. 52, issue 8, 3902-3912

Abstract: A simple normal approximation for the cumulative distribution function of the F distribution is obtained via a general version of the modified signed log-likelihood ratio statistic. This approximation exhibits remarkable accuracy even when the degrees of freedom are small. Using the same methodology, but with a simpler set up, simple and accurate normal approximations to the cumulative distribution functions of the Student t and [chi]2 distributions can also be obtained.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:52:y:2008:i:8:p:3902-3912

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