Appendix 4: Significance of an F Statistic

Either the Peizer-Pratt approximation or an exact algorithm suggested by O. G.

Ludwig (1963) and improved by Bosten and Battiste is used.

Notation
The following notation is used in this appendix:
F Value of the F statistic
k1 Numerator degrees of freedom

k2 Denominator degrees of freedom

QF One-tailed significance level

Computation
• If k1 ≥ 20 and k 2 ≥ 20 and if F > 12, QF = C

• Peizer-Pratt (1968, p.1420)

The Peizer-Pratt approximation is used if k1 ≥ 20 and k 2 ≥ 20 and F ≤ 12 ,
1 6 1 6
or min k1 , k 2 ≥ 6 and max k1 , k 2 > 2000 ,

QF = Q N Z 16
where

 S  + pg T 
1 + qg
 np   nq 
Z=d×
 n + 1  pq
 6

1
2 Appendix 4

and

1  1  q 
p q − 0.5 
d = S+
6  
− n + p + 0.04
3
− +

k2 k1 k1 + k2 
k2 − 1 k −1
S= T= 1
2 2

k1 + k2 − 2 k2
n= p= q = 1− p
2 k1 F + k2

05 3
g X = 1 − X 2 + 2 X log X 0 58 01 − X 5 2
for X ≠ 1, X > 0

05
g 0 = 1, g 1 = 0 05

16
If Z < 0 , QF = 1 − Q N Z . If Z > 10 , QF = 0 .

• Exact Algorithm
Determine the parameters for the incomplete beta functions

k2
X=
k2 + k1 F

a=
%&k 2 2 X ≤ 0.5
'k
1 2 X > 0.5

b=
%&k 2 1 X ≤ 0.5
'k 2 2 X > 0.5

Y=&
%X X ≤ 0.5
'1 − X X > 0.5
 Appendix 4 3

The F and incomplete beta functions are related as

1 6 %K&I 1k 2 , k 26 X ≤ 0.5
K'1 − I 1k 2 , k 26
X 2 1
Q F F , k1 , k 2 =
1− X 1 2 X > 0.5

The following is used for the computations:

1 6 Ya Γ PS + a 1 6Γ a +b 1 6 1 6 b
I Y a , b = INFSUM ×
1 6
Γ a +1
×
Γ PS 1 6
+ FINSUM ×
Γ a Γ b +1 161 6
× Y a 1− Y

where

∞
01 − PS5 a Y i
INFSUM = ∑
i=0
a+i
i
i!

%K1 i=0
01 − PS5 = &1 + i − PS
K' 1 − PS
i
i>0

PS =
%&1 b is an integer
'b − b otherwise

and

b = largest integer less than or equal to b

b1b − 16 K 1b − i + 16
b

∑ 1a + b − 161a + b − 26 K 1a + b − i6 11 − Y 6
1
FINSUM = i
i =1
4 Appendix 4

Summation of INFSUM terminates when a summand is less than 10 −78 or less

than FINSUM × 10 −6 .

References
Bosten, N. E., and Battiste, E. L. 1980. Remark on Algorithm 179. Collected
Algorithms from ACM, 179–P 2–R1.

Ludwig, O. G. 1963. Algorithm 179: Incomplete beta ratio. Communications of the

ACM, 6: 314.

Peizer, D. B., and Pratt, J. W. 1968. A normal approximation for binomial, F, beta
and other common related tail probabilities. Journal of the American Statistical
Association, 63: 1416–1456.