Numerical evaluation of an equicorrelated multivariate non-central t distribution: Numerical evaluation of an equicorrelated multivariate non-central t distribution: Communications in Statistics

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Abstract

An expression for the distribution function of an equicorrelated multivariate non-central t distribution is obtained which involves only a double integration and the standard normal distribution function extended to the complex plane.

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Numerical evaluation of an equicorrelated multivariate non-central t distribution