Error bounds for asymptotic expansions of Wilks’ lambda distribution

详细信息    查看全文

• 作者：Yasunori Fujikoshi and Vladimir V. Ulyanov
• 关键词：Asymptotic expansions ; Error bounds ; Function of multivariate scale mixture ; Wilks’ ; lambda distribution ; Wishart distribution
• 刊名：Journal of Multivariate Analysis
• 出版年：2006
• 出版时间：October 2006
• 年：2006
• 卷：97
• 期：9
• 页码：1941-1957
• 全文大小：222 K

文摘

Let Λ=|S_e|/|S_e+S_h|, where S_h and S_e are independently distributed as Wishart distributions W_p(q,Σ) and W_p(n,Σ), respectively. Then Λ has Wilks’ lambda distribution Λ_p,q,n which appears as the distributions of various multivariate likelihood ratio tests. This paper is concerned with theoretical accuracy for asymptotic expansions of the distribution of T