期刊
SIAM JOURNAL ON SCIENTIFIC COMPUTING
卷 34, 期 1, 页码 B65-B85出版社
SIAM PUBLICATIONS
DOI: 10.1137/100803778
关键词
extrapolation methods; G transformation; Slevinsky-Safouhi formulae; tails of probability distributions; rational and Pade approximants
资金
- Natural Sciences and Engineering Research Council of Canada (NSERC)
We use the recently developed algorithm for the G(n)((1)) transformation to approximate tail probabilities of the normal distribution, the gamma distribution, the student's t-distribution, the inverse Gaussian distribution, and Fisher's F distribution. Using this algorithm, which can be computed recursively when using symbolic programming languages, we are able to compute these integrals to high predetermined accuracies. Previous to this contribution, the evaluation of these tail probabilities using the G(n)((1)) transformation required symbolic computation of large determinants. With the use of our algorithm, the G(n)((1)) transformation can be performed relatively easily to produce explicit approximations. After a brief theoretical study, a connection between the G(n)((1)) transformation and rational and Pade approximants is established.
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