Approximating by the Wishart distribution
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Publication:1915256
DOI10.1007/BF01856546zbMath0843.62061MaRDI QIDQ1915256
Dietrich von Rosen, Tõnu Kollo
Publication date: 21 August 1996
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Wishart distributionEdgeworth expansionTaylor expansionssample covariance matrixnon-central Wishart distributionmatrix derivativesdensity approximationmultivariate cumulantsfunctions with matrix argumentspowers of Kronecker products
Multivariate distribution of statistics (62H10) Approximations to statistical distributions (nonasymptotic) (62E17) Random matrices (algebraic aspects) (15B52)
Related Items (9)
On a symbolic representation of non-central Wishart random matrices with applications ⋮ Multivariate generalized Gram-Charlier series in vector notations ⋮ Noncentral Wishart matrices, asymptotic normality of vec and smooth statistics ⋮ Causal Inference in Transcriptome-Wide Association Studies with Invalid Instruments and GWAS Summary Data ⋮ Approximations to the distribution of the sample correlation matrix ⋮ Distribution and Density Approximations of a Maximum Likelihood Estimator in the Growth Curve Model ⋮ Approximation of multivariate distribution functions ⋮ Distribution and density approximation of the co variance matrix in the growth curve model ⋮ A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications
Cites Work
- Chi squared approximations to the distribution of a sum of independent random variables
- On the approximation of noncentral Wishart distribution by Wishart distribution. I. General theory
- Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
- On Multivariate Edgeworth Expansions
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