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.
点击下载:
PDF (421KB)
返 回