Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable

José Carlos Dias and João Pedro Vidal Nunes

European Journal of Operational Research, 2018, vol. 265, issue 2, 559-570

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 χ2 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.

Keywords: Applied probability; Nuttall functions; Generalized Marcum functions; Noncentral χ2 truncated and raw moments; Incomplete Toronto function (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:265:y:2018:i:2:p:559-570

DOI: 10.1016/j.ejor.2017.08.002

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