F-distribution

In probability theory and statistics, the F-

distribution or F-ratio, also known as
Fisher–Snedecor
Snedecor's F distribution or the Fisher– Probability density function
Snedecor distribution (after Ronald Fisher
and George W. Snedecor), is a continuous
probability distribution that arises frequently
as the null distribution of a test statistic,
most notably in the analysis of variance
(ANOVA) and other F-tests.[2][3][4][5]

Definition
The F-distribution with d1 and d2 degrees
of freedom is the distribution of

Cumulative distribution function

where and are independent random

variables with chi-square distributions with
respective degrees of freedom and .

It can be shown to follow that the

probability density function (pdf) for X is
given by

Parameters d1, d2 > 0 deg. of freedom

Support if , otherwise

PDF

CDF

Mean

for d2 > 2
 Mode

for d1 > 2
Variance

for d2 > 4
Skewness

for d2 > 6
Ex. see text
kurtosis
Entropy

[1]

MGF does not exist, raw moments defined in text

and in [2][3]
CF see text

for real x > 0. Here is the beta function. In many applications, the parameters d1 and d2 are positive
integers, but the distribution is well-defined for positive real values of these parameters.

The cumulative distribution function is

where I is the regularized incomplete beta function.

The expectation, variance, and other details about the F(d1 , d2 ) are given in the sidebox; for d2  > 8, the
excess kurtosis is

The k-th moment of an F(d1 , d2 ) distribution exists and is finite only when 2k < d2 and it is equal to
 [6]

The F-distribution is a particular parametrization of the beta prime distribution, which is also called the beta
distribution of the second kind.

The characteristic function is listed incorrectly in many standard references (e.g.,[3]). The correct expression
[7] is

where U(a, b, z) is the confluent hypergeometric function of the second kind.

Characterization
A random variate of the F-distribution with parameters and arises as the ratio of two appropriately
scaled chi-squared variates:[8]

where

and have chi-squared distributions with and degrees of freedom respectively,

and
and are independent.

In instances where the F-distribution is used, for example in the analysis of variance, independence of
and might be demonstrated by applying Cochran's theorem.

Equivalently, the random variable of the F-distribution may also be written

where and , is the sum of squares of random variables from normal distribution

and is the sum of squares of random variables from normal distribution .

In a frequentist context, a scaled F-distribution therefore gives the probability , with the
F-distribution itself, without any scaling, applying where is being taken equal to . This is the context
in which the F-distribution most generally appears in F-tests: where the null hypothesis is that two
independent normal variances are equal, and the observed sums of some appropriately selected squares are
then examined to see whether their ratio is significantly incompatible with this null hypothesis.
The quantity has the same distribution in Bayesian statistics, if an uninformative rescaling-invariant
Jeffreys prior is taken for the prior probabilities of and .[9] In this context, a scaled F-distribution thus
gives the posterior probability , where the observed sums and are now taken as
known.

Properties and related distributions

If and (Chi squared distribution) are independent, then

If (Gamma distribution) are independent, then

If (Beta distribution) then

Equivalently, if , then .

If , then has a beta prime distribution: .

If then has the chi-squared distribution

is equivalent to the scaled Hotelling's T-squared distribution

If then .
If — Student's t-distribution — then:

F-distribution is a special case of type 6 Pearson distribution

If and are independent, with Laplace(μ, b) then

If then (Fisher's z-distribution)

The noncentral F-distribution simplifies to the F-distribution if .
The doubly noncentral F-distribution simplifies to the F-distribution if
If is the quantile p for and is the quantile for
, then

F-distribution is an instance of ratio distributions

 W-distribution[10] is a unique parametrization of F-distribution.

See also
Beta prime distribution
Chi-square distribution
Chow test
Gamma distribution
Hotelling's T-squared distribution
Wilks' lambda distribution
Wishart distribution
Modified half-normal distribution[11] with the pdf on is given as

, where denotes the Fox–

Wright Psi function.

References
1. Lazo, A.V.; Rathie, P. (1978). "On the entropy of continuous probability distributions". IEEE
Transactions on Information Theory. IEEE. 24 (1): 120–122. doi:10.1109/tit.1978.1055832 (h
ttps://doi.org/10.1109%2Ftit.1978.1055832).
2. Johnson, Norman Lloyd; Samuel Kotz; N. Balakrishnan (1995). Continuous Univariate
Distributions, Volume 2 (Second Edition, Section 27). Wiley. ISBN 0-471-58494-0.
3. Abramowitz, Milton; Stegun, Irene Ann, eds. (1983) [June 1964]. "Chapter 26" (http://www.m
ath.ubc.ca/~cbm/aands/page_946.htm). Handbook of Mathematical Functions with
Formulas, Graphs, and Mathematical Tables. Applied Mathematics Series. Vol. 55 (Ninth
reprint with additional corrections of tenth original printing with corrections (December 1972);
first ed.). Washington D.C.; New York: United States Department of Commerce, National
Bureau of Standards; Dover Publications. p. 946. ISBN 978-0-486-61272-0. LCCN 64-
60036 (https://lccn.loc.gov/64-60036). MR 0167642 (https://mathscinet.ams.org/mathscinet-g
etitem?mr=0167642). LCCN 65-12253 (https://lccn.loc.gov/65012253).
4. NIST (2006). Engineering Statistics Handbook – F Distribution (http://www.itl.nist.gov/div89
8/handbook/eda/section3/eda3665.htm)
5. Mood, Alexander; Franklin A. Graybill; Duane C. Boes (1974). Introduction to the Theory of
Statistics (Third ed.). McGraw-Hill. pp. 246–249. ISBN 0-07-042864-6.
6. Taboga, Marco. "The F distribution" (http://www.statlect.com/F_distribution.htm).
7. Phillips, P. C. B. (1982) "The true characteristic function of the F distribution," Biometrika, 69:
261–264 JSTOR 2335882 (https://www.jstor.org/stable/2335882)
8. M.H. DeGroot (1986), Probability and Statistics (2nd Ed), Addison-Wesley. ISBN 0-201-
11366-X, p. 500
9. G. E. P. Box and G. C. Tiao (1973), Bayesian Inference in Statistical Analysis, Addison-
Wesley. p. 110
10. Mahmoudi, Amin; Javed, Saad Ahmed (October 2022). "Probabilistic Approach to Multi-
Stage Supplier Evaluation: Confidence Level Measurement in Ordinal Priority Approach" (htt
ps://www.ncbi.nlm.nih.gov/pmc/articles/PMC9409630). Group Decision and Negotiation. 31
(5): 1051–1096. doi:10.1007/s10726-022-09790-1 (https://doi.org/10.1007%2Fs10726-022-0
9790-1). ISSN 0926-2644 (https://www.worldcat.org/issn/0926-2644). PMC 9409630 (https://
www.ncbi.nlm.nih.gov/pmc/articles/PMC9409630). PMID 36042813 (https://pubmed.ncbi.nl
m.nih.gov/36042813).
11. Sun, Jingchao; Kong, Maiying; Pal, Subhadip (22 June 2021). "The Modified-Half-Normal
distribution: Properties and an efficient sampling scheme" (https://www.tandfonline.com/doi/
abs/10.1080/03610926.2021.1934700?journalCode=lsta20). Communications in Statistics -
Theory and Methods. 52 (5): 1591–1613. doi:10.1080/03610926.2021.1934700 (https://doi.o
rg/10.1080%2F03610926.2021.1934700). ISSN 0361-0926 (https://www.worldcat.org/issn/0
361-0926). S2CID 237919587 (https://api.semanticscholar.org/CorpusID:237919587).

External links
Table of critical values of the F-distribution (http://www.itl.nist.gov/div898/handbook/eda/secti
on3/eda3673.htm)
Earliest Uses of Some of the Words of Mathematics: entry on F-distribution contains a brief
history (https://mathshistory.st-andrews.ac.uk/Miller/mathword/f/)
Free calculator for F-testing (http://www.waterlog.info/f-test.htm)

Retrieved from "https://en.wikipedia.org/w/index.php?title=F-distribution&oldid=1161077231"