Computing the distribution of a linear combination of inverted gamma variables
نویسنده
چکیده
A formula for evaluation of the distribution of a linear combination of independent inverted gamma random variables by one-dimensional numerical integration is presented. The formula is direct application of the inversion formula given by Gil–Pelaez [4]. This method is applied to computation of the generalized p-values used for exact significance testing and interval estimation of the parameter of interest in the Behrens–Fisher problem and for variance components in balanced mixed linear model.
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ورودعنوان ژورنال:
- Kybernetika
دوره 37 شماره
صفحات -
تاریخ انتشار 2001