Investment Studio > Expressions > Functions > Statistical > CHIDIST
float chidist(float x, integer degrees_of_freedom, boolean cumulative = TRUE)
Returns the c2 (chi-squared) probability function.
If cumulative = FALSE, x must be >= 0.
degrees_of_freedom must be >= 1.
If cumulative = TRUE, the one-tailed CDF (Cumulative Distribution Function) is returned (equal to the probability of a stochastic variable with c2 distribution being >= x); otherwise, the PDF (Probability Density Function) is returned. If cumulative is omitted, it defaults to TRUE.
Mathematically, the c2 PDF is given by
m = degrees_of_freedom / 2
| xm - 1 e-x / 2 | |
| f(x, m) = | ¾¾¾¾¾¾ |
| G(m) 2m |
and the one-tailed CDF is
| ¥ | ||
| F(x, m) = | ó | f(u, m) du |
| ô | ||
| õ | ||
| x |
The c2 distribution is the distribution of the sum of the squares of degrees_of_freedom independent stochastic variables with standard normal distributions (see normsdist).
Example
The probability of a stochastic variable with c2 distribution and 3 degrees of freedom being >= 1.609 is
=chidist(1.609, 3)
» 65.7%.