StatsInvCMSSDCDF

StatsInvCMSSDCDF (cdf, n)

The StatsInvCMSSDCDF function returns the critical values of the C distribution (mean square successive difference distribution), which is given by

$$\displaystyle f(C, n)=\frac{\Gamma(2 m+2)}{a 2^{2 m+1}[\Gamma(m+1)]^{2}}\left(1-\frac{C^{2}}{a^{2}}\right)^{m},$$

where

$$\displaystyle a^{2}=\frac{\left(n^{2}+2 n-12\right)(n-2)}{\left(n^{3}-13 n+24\right)},$$ $$\displaystyle m=\frac{\left(n^{4}-n^{3}-13 n^{2}+37 n-60\right)}{2\left(n^{3}-13 n+24\right)} .$$

Critical values are computed from the integral of the probability distribution function.

References

Young, L.C., On randomness in ordered sequences, Annals of Mathematical Statistics, 12, 153-162, 1941.

See Also

Statistical Analysis, StatsCMSSDCDF, StatsSRTest