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XLeratorDB/statistics Documentation

SQL Server F.DIST function


F_DIST

Updated: 31 July 2015

Use F_DIST to calculate the probability density or the lower cumulative probability of an F-distribution for x and degrees of freedom for 2 independent random variables.
Syntax
SELECT [wct].[F_DIST](
  <@x, float,>
 ,<@df1, float,>
 ,<@df2, float,>
 ,<@Cumulative, bit,>)
Arguments
@X
The value of interest to be evaluated. @X must be of a type float or of type that intrinsically converts to float
@df1
The number of degrees freedom for the numerator random variable. @df1 must be of a type float or of a type that intrinsically converts to float.
@df2
The number of degrees freedom for the denominator random variable. @df2 must be of a type float or of a type that intrinsically converts to float.
@Cumulative
A bit value indicating whether the probability density function ('False') or the cumulative distribution function ('True') should be returned.
Return Type
float
Remarks
·         0 < @X
·         0 < @df1
·         0 < @df2
Examples
In this example we calculate the F cumulative distribution function for x = 9 with 4 numerator degrees of freedom and 5 denominator degrees of freedom.
SELECT
       wct.F_DIST(
               9            --@x
              ,4            --@df1
              ,5            --@df2
              ,'True'       --@Cumulative
              )CDF

This produces the following result

Using the same data we calculate the F probability distribution function.
SELECT
       wct.F_DIST(
               9            --@x
              ,4            --@df1
              ,5            --@df2
              ,'False'--@Cumulative
              )PDF

This produces the following result.
 

The F distribution is closely related to the beta distribution.
SELECT
        wct.F_DIST(x,df1,df2,'True') as F_DIST
       ,wct.BETA_DIST(df1*x/(df2+df1*x),df1/2,df2/2,'True',NULL,NULL) as BETA_DIST
FROM (
       VALUES (0.95,6e-00,11e-00))n(x,df1,df2)

This produces the following result.

 

See Also

 



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