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On approximating the non-central wishart distribution by central wishart distribution a monte carlo study

 

作者: W. Y. Tan,   R. P. Gupta,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1982)
卷期: Volume 11, issue 1  

页码: 47-64

 

ISSN:0361-0918

 

年代: 1982

 

DOI:10.1080/03610918208812245

 

出版商: Marcel Dekker, Inc.

 

关键词: approximations;non-central Wishart;Gram-Chalier;Laguerre pollynomials;Monte Carlo study

 

数据来源: Taylor

 

摘要:

This paper provides a Monte Carlo study of approximating the non-central Wishart distribution by Central Wishart distribution by mean of 1. Multivariate Gram-Chalier expansion and 2. Laguerre polynomial expansion. For assessing the closeness of these approximations, 1,000 independent 2×2 non-central Wishart matrices are generated by computer. The numerical results indicate that the multivariate Gram-Chalier expansion provides a close approximation to the non-central Wishart distribution as long as the correlation coefficient is less than 0.8. Also, it appears that the Gram-Chalier expansion approximation is better than the Laguerre polynomial expansion approximation when the probability values are large.

 

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