F-distribution

If we have two random variables Y and Y having chi-square distribution with a and b degrees of freedom respectively, ratio

will have F-distribution with a and b degrees of freedom. This distribution is also known as Fisher distribution.

On the right, you can see the probability density function of the F-distribution for some a's and b's. Its analytical form is:

Cumulative distribution function of the F-distribution is:

Algorithms

This module contains algorithms of calculation of the cumulative distribution function (FDistribution subroutine), its own complement (FCDistribution subroutine) and its inverse function (InvFDistribution subroutine).

This article is licensed for personal use only.

Download ALGLIB for C++ / C# / ...

ALGLIB Project offers you two editions of ALGLIB:

ALGLIB Free Edition:
delivered for free
offers full set of numerical functionality
extensive algorithmic optimizations
no low level optimizations
non-commercial license

ALGLIB Commercial Edition:
flexible pricing
offers full set of numerical functionality
extensive algorithmic optimizations
high performance (SMP, SIMD)
commercial license with support plan

Links to download sections for Free and Commercial editions can be found below:

ALGLIB 3.12.0 for C++

C++ library.
Delivered with sources.
Monolithic design.
Extreme portability.
Editions:   FREE   COMMERCIAL

ALGLIB 3.12.0 for C#

C# library with native kernels.
Delivered with sources.
VB.NET and IronPython wrappers.
Extreme portability.
Editions:   FREE   COMMERCIAL

ALGLIB 3.12.0 for Delphi

Delphi wrapper around C core.
Delivered as precompiled binary.
Compatible with FreePascal.
Editions:   FREE   COMMERCIAL

ALGLIB 3.12.0 for CPython

CPython wrapper around C core.
Delivered as precompiled binary.
Editions:   FREE   COMMERCIAL