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Questions tagged [non-central]

use for questions about socalled non-centrality parameters, in distributions such as t, F, chisquare, wishart and others.

12
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1answer
1k views

Sample size formula for an F-test?

I am wondering if there is a sample size formula like Lehr's formula that applies to an F-test? Lehr's formula for t-tests is $n = 16 / \Delta^2$, where $\Delta$ is the effect size (e.g. $\Delta = (\...
11
votes
2answers
2k views

What is the power of the regression F test?

The classical F-test for subsets of variables in multilinear regression has the form $$ F = \frac{(\mbox{SSE}(R) - \mbox{SSE}(B))/(df_R - df_B)}{\mbox{SSE}(B)/df_B}, $$ where $\mbox{SSE}(R)$ is the ...
10
votes
2answers
563 views

What is the median of a non-central t distribution?

What is the median of the non-central t distribution with non-centrality parameter $\delta \ne 0$? This may be a hopeless question because the CDF appears to be expressed as an infinite sum, and I ...
8
votes
5answers
544 views

Confidence Interval on a random quantity?

Suppose $\vec{a}$ is an unknown $p$-vector, and one observes $\vec{b} \sim \mathcal{N}\left(\vec{a}, I\right)$. I would like to compute confidence intervals on the random quantity $\vec{b}^{\top} \...
7
votes
1answer
6k views

Noncentrality Parameter - what is it, what does it do, what would be a suggested value?

I have been trying to brush up on my stats knowledge, especially in relation to Sample size determination and Statistical Power Analysis. But it seems that the more I read the more I need to read. ...
6
votes
1answer
91 views

Does scaling a central $\chi^2$ distribution produce a non-central $\chi^2$ distribution?

For independent samples from two normal populations, $X_1,\dotsc,X_n\sim N(\mu_X, \sigma_X^2)$ and $Y_1,\dotsc,Y_m\sim N(\mu_Y,\sigma^2_Y)$, the $F$ test for equality of variances uses the statistic \...
5
votes
1answer
1k views

Is there a PDF for a generalized non-central chi-squared distribution [duplicate]

Is there a PDF for a distribution defined as a sum of squares of random variables pulled from a family of normal distributions with different standard deviation? Is there a way of analytically ...
5
votes
1answer
103 views

Expected value of $X^{-1}$, $X$ being a noncentral $\chi^2$. Cannot understand a step of a equation in a paper

I am reading the following paper: Mudholkar GS, Chaubey YP, Ching-Chuong L (1976). Approximations for the doubly noncentral-$F$ distribution. Communications in Statistics - Theory and Methods, 5(1):...
5
votes
0answers
122 views

Estimation After Selection on Non-central F Random Variables

Suppose that you observe $F_1,F_2,\ldots,F_k$ each independently. drawn from non-central F distributions with common, known, d.f. $\nu_1, \nu_2$, and with (unknown) non-centrality parameters $\...
4
votes
3answers
206 views

Possible to use moment generating function of standard normal to find variance of noncentral $\chi^{2}$?

In a homework problem, I have been asked to find the variance of the noncentral $\chi_{n,\delta}^{2}$ distribution with degrees of freedom $n$ and noncentral parameter $\delta >0$ by using the ...
4
votes
1answer
367 views

Why are these two random variables identically distributed?

Let $(X_1, X_2, \ldots, X_i, \ldots, X_k)$ be $k$ independent, normally distributed random variables with means $\mu_i$ and variances $1$. Then the random variable $$ \sum_{i=1}^k X_i^2$$ is ...
4
votes
1answer
135 views

Why is the noncentral chi-squared approximate of the deviance bad?

The statistical model under consideration is given by the independent realizations of two independent binomial distributions: $$ x_1 \sim \mathrm{Bin}(n_1, p_1), \quad x_2 \sim \mathrm{Bin}(n_2,p_2), $...
4
votes
0answers
83 views

What is a reasonable alternative when the mean does not exist?

Consider a continuous random variable $F''$ following a doubly noncentral $F$ distribution with $8$ and $2$ degrees of freedom, and noncentrality parameters $0$ and $10$; which is to say: $$ F'' \sim ...
3
votes
2answers
79 views

What is the median of the non-central F ratio distribution

I am looking for a simple approximation to the median of the (simply) non-central F distribution with parameters dlnum, dldenominator, and ncp, the non-centrality parameter. Clearly, there is no ...
3
votes
1answer
118 views

Non-central t-distributions with different degrees of freedom

I have two non-central t distributions with CDF given by $t_{n,a}$ and $t_{m,a}$ with $n>m$ degrees of freedom respectively and the same non-centrality parameter $a$. The question is: for which ...
3
votes
0answers
129 views

t-test: understanding alternative hypothesis, power, and noncentral distributions

While the alternative hypothesis $H_a: \mu_c \ne \mu_t$ covers an infinite number of possible values for $\mu_t$, the power of the test can only be defined based on a point value of $\mu_t$ - is this ...
3
votes
0answers
84 views

A question concerning distribution of $\mathbf{Y}/\|\mathbf{Y}\|_2$ where $\mathbf{Y}\sim \mathcal{N}(\boldsymbol{\mu},\mathbf{I})$

I know that when $\mathbf{Y}\sim\mathcal{N}(\mathbf{0},\mathbf{I})$, $\mathbf{Y}/\|\mathbf{Y}\|_2$ is distributed uniformly on the unit sphere. But to my surprise, I failed to find a simple closed ...
3
votes
0answers
371 views

Distribution of a normalized inverse Wishart times Gaussian

Suppose $z\sim\mathcal{N}\left(\lambda^2 e_1,I_n\right)$ where $e_1$ is the first column of the $n$-dimensional identity matrix, denoted here as $I_n$. Suppose $S\sim\mathcal{W}\left(m,I_n\right)$ is ...
2
votes
1answer
86 views

Which distribution do I get?

Be $X\sim N(\mu,1)$ and $Y\sim Inverse-Gamma(\alpha,\beta)$. For the Inverse-Gamma, I usually use the parameterization which leads to the following probability distribution function for Y: $f(y;\...
2
votes
1answer
698 views

Relationship between the gamma distribution and Non-central chi squared distribution?

If $Y = \sum_{i=1}^N X_i^2 $, where $X_i \sim \mathcal{N}(\mu,\sigma^2)$, i.e. all $X_i$ are i.i.d gaussian random variables of same mean and variance, then what is the resultant PDF of $Y$? How the ...
2
votes
1answer
192 views

ttest where the difference in the null hypothesis is not 0: non-centrality parameter?

I have problems to understand when a non-centrality parameter is relevant. As far as I understood, if the t distribution is not centered on 0, a non-central t distribution is used. For example, in ...
2
votes
1answer
359 views

Bayesian inference on noncentrality parameters of t- and F-distributions

Suppose I observe a random variable $x$ drawn from a non-central t- or F- distribution, and would like to perform inference on the non-centrality parameter. How would a Bayesian approach this problem? ...
2
votes
1answer
61 views

Power of the $\chi^2$ test constraint?

I understand that the distribution of the $\chi^2$ goodness of fit test ($\sum\dfrac{(x_i-m_i)^2}{m_i}$) is a non-central chi-squared with non centrality parameter $\lambda=\sum\dfrac{(m_i-m'_i)^2}{m'...
2
votes
0answers
210 views

Derive the distribution of the ANOVA F-statistic under the alternative hypothesis

Say we have $k$ samples of data, where sample $i$ is of size $n_i$ and we write it as $x_{i1}, ... , x_{in_i}$. Let the total sample size be $N$. The ANOVA model is $X_{ij} \sim N(\mu_i, \sigma^2)$ ...
2
votes
1answer
108 views

Why doesn't the TOST equivalence testing procedure use non-central $t$ distribution to determine the $p$ value?

I'm looking at Lakens' (2017) primer and he tests the hypothesis that there is a difference between two groups $X_1$and $X_2$of magnitude $\Delta=E[X_1]-E[X_2] \neq0$ by subtracting $\Delta$ from the ...
2
votes
0answers
180 views

How can i express non central chi square random variable in terms of gamma function?

I know the relation between central chi square and gamma random variables.But i am not able to get relation between gamma and non central chi-square distribution.
2
votes
0answers
243 views

In inferential statistics, is the noncentrality parameter of the F-distribution simply the F-value 'in the population'?

I'm writing functions (in R) that allow working with the $\omega^2$ distribution (the effect size for analysis of variance; the less biased alternative to $\eta^2$)....
2
votes
0answers
710 views

Generate data from a t-distribution with specified mean and standard deviation [duplicate]

How does one randomly sample from a T-distribution in R. From what I've found, the function rt in R doesn't let you specify the mean and standard deviation. For a ...
2
votes
0answers
157 views

What is the distribution of the 'achieved' $R^2$?

I am interested in the distribution of/performing inference on the 'achieved' $R^2$ coefficient in multiple linear regression. Suppose that $y\sim x\beta + \epsilon$ with $\epsilon \sim \mathcal{N}\...
2
votes
0answers
199 views

Is there standard nomenclature for Confidence Distributions?

I am wondering if there are standard naming conventions in general for confidence distributions or for the particular cases of the non-centrality parameters of (non-central) $t$- and $F$-distributions....
1
vote
1answer
1k views

Efficient fitting of noncentral chi-squared distribution to data?

I am looking for the most efficient way to fit a noncentral chi-squared distribution with fixed d.o.f. to a given data set. So the inputs are d.o.f. and the data and the output should be the ...
1
vote
1answer
96 views

Expansion of Non-central Chi-square density function

About non central chi-square, I have read paper from Castano-Martinez and Lopez-Blazquez(2005). They made expansion of $\chi_n^2(\delta)$ using inverse-Laplace transform and used Laguerre polynomial. ...
1
vote
0answers
25 views

Power Analysis and Non-Central t Distribution

I'm a bit confused about power analysis and the non-central t-distribution. If I am in a situation where $H_0$ is $\mu = 0$, and $H_1$ is $\mu > 0$, I calculate for what value $\mu$ would have a ...
1
vote
0answers
46 views

Expected value of statistic based on sample correlations

Let there be $i = 1,...,m$ random variables, for simplicity assume that each of these random variables follows a normal distribution: $x_{i} \sim N(\mu_{i}, \sigma_{i})$. Let $\hat{\rho_{i,j}}$ be the ...
1
vote
0answers
26 views

Where is the error: doubly noncentral $F$-distribution

Let $F=(X/n_1)/(Y/n_2)$ where $X$ and $Y$ are independent, $X$ is $\chi^2$ with noncentrality parameter $\lambda_1\geq 0$, and $Y$ $\chi^2$ with NCP $\lambda_2\geq 0$. According to this Wolfram ...
1
vote
0answers
172 views

expectation of Log Noncentral Chi

Let $X$ follow non central chi distribution, the formula of $\mathbb{E}[\log(X)]$ (or equivalently $\mathbb{E}[\log(X^2)]$ where $X^2$ is Non central chi square) can be found here and here. However, ...
1
vote
0answers
41 views

Which method to choose for constructing a confidence interval around Cohen's w?

There are two methods to calculate a confidence interval (CI) around a measure of effect size: you can either construct a CI around the noncentrality parameter of the corresponding noncentral ...
1
vote
0answers
442 views

How to calculate non centrality parameter?

Suppose $Y\sim N_p(\mu,\sigma^2I_p)$. Let $A$ be a symmetric idempotent matrix. I want to show $Y^{T}AY$ follows a chi-sq distribution with some non centrality parameter. Suppose $tr(A)=r(A)=k$. ...
1
vote
0answers
36 views

Histogram of noncentral chi-square variable shoots up when the number of histogram cells increases

Consider the random variable defined by: $$y=-8x+108$$ where $x$ follow a non-central chi-square distribution with 1 degree of freedom and a non-centrality parameter equal to 3.5, $x \sim \chi_{1}^{2}(...
1
vote
0answers
76 views

which random variable is a rescaled non-central $\chi^2$ random variable?

Probably simple question. Consider the Cox-Ingersoll-Ross model (1985) model for interest rates $$ dr = k(\theta - r)dt + \sigma \sqrt{r}dz $$ Then it is known in closed form the conditional pdf $f(r(...
1
vote
0answers
93 views

Is there a known generalization of the doubly noncentral t-distribution?

Given $p$-variate normal $X \sim \mathcal{N}\left(\mu,\Sigma\right)$, consider the random variable $$ t_* = \frac{X_1}{\sqrt{\sum_{2\le i \le p} X_i^2}}. $$ For some values of $\Sigma$, this ...
0
votes
1answer
45 views

Distribution of the step size of diffusion in 3-dimensional space

I need to find the distribution of the random variable $$Y=\sqrt{X_1^2+X_2^2+X_3^2}$$ where $X_i\sim{\cal{N}}(0,\sigma^2)$ and $\sigma^2$ is related to diffusion coefficient. All $X_i$s are ...
0
votes
1answer
261 views

Different results for noncentrality parameter (formula vs. G*Power)

This post states the formula to calculate the noncentrality parameter of a test statistic that has a standard normal distribution under the null hypothesis. For a t-test under an equal variance ...
0
votes
1answer
212 views

How do I get the alpha and beta of a non-central beta distribution from mean and variance in R?

I need to fit a beta-distribution a real data, with a mean of 0 and a standard deviation of 0.17. I have read that this is possible by using the non-central beta distribution, and I would wlike to ...
0
votes
0answers
24 views

Power Analysis with Noncentral F distribution

I'm looking to replicate a power analysis for binary data using an MRMC analysis (details found here). The data looks like this, where Score is a binary variable. ...
0
votes
0answers
138 views

How to calculate mean and variance of non central chi distribution of the problem?

If $Y = \sqrt{\sum_{i=1}^N X_i^2} $, where $X_i \sim \mathcal{N}(\mu,\sigma^2)$, i.e. all $X_i$ are i.i.d gaussian random variables of same mean and variance, then what is the resultant PDF of $Y$? ...
0
votes
1answer
21 views

(p)_j notation in the paper Castaño-Martínez and López-Blázquez (2005)

I am trying to implement few equations for the distribution of Chi square from the paper Castaño-Martínez and López-Blázquez (2005). In equation (5.1), I don't understand what $(p)_j$ means. Could you ...
0
votes
1answer
39 views

Estimating non-centrality parameter from some obtained sample of t variates

Suppose I have a sample of 10 $t$ variates which I think has come from a non-central $t-distribution$. I was wondering how I can estimate the non-centrality parameter $(ncp)$ of the mother non-...
0
votes
0answers
144 views

Sum of non-central chi-square using Laguerre expansion

I moved this question from my answer on this link. From Castano-Martinez and Lopez-Blazquez(2005), They explained pdf of sum of noncentral Chi-square on equation 3.2, that is: $f(y)= \frac{e^{-\frac{...