pearson.qf: approximate distribution function of a Gaussian quadratic...

In multivariance: Measuring Multivariate Dependence Using Distance Multivariance

Description

Approximation of the of the value of the distribution function of a Gaussian quadratic form based on its first three moments.

Usage

pearson.qf(x, moment, lower.tail = TRUE, verbose = FALSE)

Arguments

x	value at which the distribution function is to be evaluated
moment	vector with the mean, variance and skewness of the quadratic form
lower.tail	logical, indicating of the lower or upper tail of the distribution function should be calculated
verbose	logical, if TRUE a warning is issued if negative moments are sanitized to 0.

Details

This is Pearson's approximation for Gaussian quadratic forms as stated in [4] (equation (4.65) in arXiv:1808.07280v2)

References

For the theoretic background see the reference [4] given on the main help page of this package: multivariance-package.

multivariance documentation built on Oct. 6, 2021, 5:08 p.m.