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SIAM J. Sci. Comput. 34, pp. B65-B85 (21 pages)
Computation of Tail Probabilities via Extrapolation Methods and Connection with Rational and Padé Approximants
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Add to FacebookWe use the recently developed algorithm for the $G_{n}^{(1)}$ transformation to approximate tail probabilities of the normal distribution, the gamma distribution, the student's $t$-distribution, the inverse Gaussian distribution, and Fisher's $F$ distribution. Using this algorithm, which can be computed recursively when using symbolic programming languages, we are able to compute these integrals to high predetermined accuracies. Previous to this contribution, the evaluation of these tail probabilities using the $G_{n}^{(1)}$ transformation required symbolic computation of large determinants. With the use of our algorithm, the $G_n^{(1)}$ transformation can be performed relatively easily to produce explicit approximations. After a brief theoretical study, a connection between the $G_n^{(1)}$ transformation and rational and Padé approximants is established.
© 2012 Society for Industrial and Applied Mathematics
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Received July 27, 2010
Accepted November 04, 2011
Published online February 09, 2012
Accepted November 04, 2011
Published online February 09, 2012
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