Non-Central Multivariate Chi-Square and Gamma Distributions
نویسنده
چکیده
A 1 ( ) p -variate integral representation is given for the cumulative distribution function of the general p variate non-central gamma distribution with a non-centrality matrix of any admissible rank. The real part of products of well known analytical functions is integrated over arguments from ( , ). To facilitate the computation, these formulas are given more detailed for 3. p Furthermore, some alternative formulas are given for the cases with an associated “one-factorial” ( ) p p correlation matrix , R i.e. R differs from a suitable diagonal matrix only by a matrix of rank 1, which holds in particular for all (3 3) R with no vanishing correlation.
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