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Approximations to Joint Distributions of Definite Quadratic Forms

 

作者: D.R. Jensen,   Herbert Solomon,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1994）
卷期: Volume 89, issue 426  

页码: 480-486

 

ISSN:0162-1459

 

年代: 1994

 

DOI:10.1080/01621459.1994.10476771

 

出版商: Taylor & Francis Group

 

关键词: Distributions of quadratic forms;Gaussian approximations;Multivariate chi-squared and Rayleigh distributions;Normalizing transformations

 

数据来源: Taylor

 

摘要:

Multidimensional Wilson-Hilferty transformations support Gaussian approximations to certain joint distributions of quadratic forms in jointly Gaussian variates. Central and noncentral joint distributions are studied and applications are noted. Parameters of the approximating distributions are given up to terms of ordero(v−2) in the degrees of freedomv.Numerical studies validate using these approximations over a range of parameters for an essential subclass of the distributions studied, especially in upper tails.

 

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