A new asymptotic representation and inversion method for the Student's t distribution. Issue 8 (3rd August 2022)

• Record Type: Journal Article
• Authors: Gil, A.; Segura, J.; Temme, N. M.
• Is Part Of: Integral transforms and special functions. Volume 33:Issue 8(2022)
• Page Start: 597
• Page End: 608
• Publication Date: 2022-08-03
• Subjects: Incomplete beta function -- asymptotic expansions -- Student's-t distribution; 33B20 -- 41A60 -- 65D20; Integral transforms -- Periodicals; Transcendental functions -- Periodicals; Transformations (Mathematics) -- Periodicals; Calculus, Integral -- Periodicals; 515
• DOI: 10.1080/10652469.2021.2007906
• Languages: English
• ISSNs: 1065-2469

Abstract

Abstract : Some special functions are particularly relevant in applied probability and statistics. For example, the incomplete beta function is the cumulative central beta distribution. In this paper, we consider the inversion of the central Student's- t distribution which is a particular case of the central beta distribution. The inversion of this distribution function is useful in hypothesis testing as well as for generating random samples distributed according to the corresponding probability density function. A new asymptotic representation in terms of the complementary error function will be one of the important ingredients in our analysis. As we will show, this asymptotic representation is also useful in the computation of the distribution function. We illustrate the performance of all the obtained approximations with numerical examples.