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NCTCDFVW

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NCTCDFVW

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20 May 2013 (Updated )

Alternative algorithm for computing the CDF of the noncentral Student's t-distribution

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Description

P = NCTCDFVW(X,NU,NCP,TAIL) returns the cummulative distribution function (CDF) of the noncentral T distribution with NU degrees of freedom and the non-centrality parameter NCP, at the values X.

NCTCDFVW is suggested for computing extreme tail probabilities of the non-central T distribution with large noncentrality parameter.

The CDF is computed by the GAUSS-KRONOD (non-adaptive) quadrature.

Acknowledgements

Quadvgk inspired this file.

MATLAB release MATLAB 8.0 (R2012b)
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Updates
21 May 2013

Fixed some minor bugs. Possibility to select different number of sub-intervals for integration.

05 Jun 2013

Improved integration limits and precision.

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