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Upper bound for singular normal probability integrals by integration over a hypersphere

 

作者: J. P. De Los Reyes,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1990)
卷期: Volume 19, issue 3  

页码: 847-861

 

ISSN:0361-0918

 

年代: 1990

 

DOI:10.1080/03610919008812892

 

出版商: Marcel Dekker, Inc.

 

关键词: Pólya;multinomial;limiting singular normal;regular simplex;hypersphere;equicorrelated-equicoordinate normal probability integral;diagonalizing transformation;uncorrelated standard multivariate normal distribution;incomplete gamma-function ratio

 

数据来源: Taylor

 

摘要:

Following an inequality of G. Pólya[1949], certain probability integrals, namelyof the limiting singular normal distribution of a specified multinomial, are shown to be bounded above by integrals Tk(Uk) of the uncorrelated standard multivariate normal density over k-dimensional hyperspheres *Ukof radius Uk=Uk(y) and center (0,…,0). The hypersphere Ukis so chosen that its k-dimensional volume is equal to the k-dimensional volume of a simplex Rk, the image under a diagonalizing transformation, of the simplicial region of integration fkin Φk(y,R). For a symmetric multinomial, Rkturns out to be a regular simplex and explicit formulas for the upper bound in the equicorrelated-equicoordinate case, with common correlation ρ= -1/k,- are derived in terms of (a) normal density and distribution functions and (b) incomplete gamma-function ratio.

 

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