Chi-square distribution

Chi-square distribution with k degrees of freedom is a distribution of the sum of squares of k random variables having normal distribution with mean equal to 0 and standard deviation equal to 1.

Probability density function for chi-square distribution is:

Cumulative distribution function of the the chi-square distribution is:

Algorithms

ChiSquareDistribution and ChiSquareCDistribution subroutines are used to calculate the areas under the left and right tails of the graph (i.e. to calculate cumulative distribution function and its own complement). InvChiSquareCDistribution subroutine calculates the inverse cumulative distribution function. Subroutines use the above mentioned formula which calculates cumulative distribution function by using an incomplete gamma-function.

This article is intended for personal use only.