3
$\begingroup$

I have a vector that has a non-central chi-squared distribution. How do I estimate its distributional parameters i.e. degrees of freedom $d$ and non-centrality parameter $\lambda$?

$\endgroup$
1
$\begingroup$

It cannot be done accurately according to what the researhes achieved, the best numerical unbiased estimator is (2.8) in the first paper:

Unbiased Estimation in the Non-central Chi-Square Distribution

An Approximation of the Non-central Chi-Square Distribution

Estimation of the Non-Centrality Parameter of a Chi-Square Distribution

I don't think there is an R-package estimating this noncentral parameter, altough I know that fpow can estimate noncentral parameters of F-distributions.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.