Symbolic Cholesky decomposition of the variance-covariance matrix of the negative multinomial distribution

DOI10.1016/0167-7152(92)90120-TzbMath0766.62029OpenAlexW2062825870MaRDI QIDQ1200741

Kunio Tanabe, Masahiko Sagae

Publication date: 16 January 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(92)90120-t

zbMATH Keywords

recursive algorithmnegative multinomial distributiongenerating multivariate normal random numbersmultivariate normal density approximationsquare-root-free Cholesky decompositionsymbolic Cholesky factorssymbolic formulavariance- covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Random number generation in numerical analysis (65C10)

Related Items (2)

Symbolic Cholesky decomposition of the variance-covariance matrix of the negative multinomial distribution ⋮ A Schur complement approach for computing subcovariance matrices arising in a road safety measure modelling

Cites Work

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