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Numerical computation of multivariate \(t\)-probabilities with application to power calculation of multiple contrasts. (English) Zbl 0934.62020
Summary: A new method to calculate the multivariate \(t\)-distribution is introduced. We provide a series of substitutions, which transform the starting \(q\)-variate integral into one over the \((q-1)\)-dimensional hypercube. In this situation standard numerical integration methods can be applied. Three algorithms are discussed in detail. As an application we derive an expression to calculate the power of multiple contrast tests assuming normally distributed data.

MSC:
62E99 Statistical distribution theory
65C60 Computational problems in statistics (MSC2010)
62-04 Software, source code, etc. for problems pertaining to statistics
Software:
AS 195
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