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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