New methods for computing the generalized chi-square distribution
Abhranil Das
We present several exact and approximate mathematical methods and open-source
software to compute the cdf, pdf and inverse cdf of the generalized chi-square
distribution, which appears in Bayesian classification problems. Some methods
are geared for speed, while others are designed to be accurate far into the
tails, using which we can also measure large values of the discriminability
index $d'$ between multinormals. We compare the accuracy and speed of these
methods against the best existing methods.