Approximating by the Wishart distribution |
| |
Authors: | Tönu Kollo Dietrich von Rosen |
| |
Institution: | (1) Department of Mathematical Statistics, University of Tartu, J. Liivi Street 2, EE-2400 Tartu, Estonia;(2) Department of Mathematics, Uppsala University, Box 480, S-751 06 Uppsala, Sweden |
| |
Abstract: | Approximations of density functions are considered in the multivariate case. The results are presented with the help of matrix derivatives, powers of Kronecker products and Taylor expansions of functions with matrix argument. In particular, an approximation by the Wishart distribution is discussed. It is shown that in many situations the distributions should be centred. The results are applied to the approximation of the distribution of the sample covariance matrix and to the distribution of the non-central Wishart distribution. |
| |
Keywords: | Density approximation Edgeworth expansion multivariate cumulants Wishart distribution non-central Wishart distribution sample covariance matrix |
本文献已被 SpringerLink 等数据库收录! |
|