About Scheme libraries specifically, here are two GSL bindings that you might be interested in:
The second project is readily available on PLaneT if you use Racket.
Here is an example that returns the $p$-value for the quantile $x=4.2$ of an ${\cal F}(2, 10)$ distribution ($p=0.047$):
(require (planet williams/science/random-distributions/f-distribution))
(- 1 (f-distribution-cdf 4.2 2 10))
with the corresponding CDF
(require (planet williams/science/random-distributions/f-distribution-graphics))
(f-distribution-plot 2 10)
There are also some statistical functions available for Chicken Scheme (release branch 4). After having installed the required dependencies, e.g.
$ sudo chicken-install statistics
you will be able to do something like
(use statistics)
(f-significance 4.2 2 10 #:one-tailed? #t)
in the interactive Chicken shell (csi
).
As pointed out by @cardinal, the Guile-numeric bindings look promising as it seems to provide a more integrated framework (with libfft and lapack support) for statistical computing. I have no time to test it presently but it is worth trying to.