Code covered by the BSD License
Viktor Witkovsky (view profile)
20 May 2013
05 Jun 2013)
Alternative algorithm for computing the CDF of the noncentral Student's t-distribution
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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.
Quadvgk inspired this file.
Fixed some minor bugs. Possibility to select different number of sub-intervals for integration.
Improved integration limits and precision.