APPROXIMATIONS TO JOINT DISTRIBUTIONS OF DEFINITE QUADRATIC-FORMS
成果类型：
Article
署名作者：
JENSEN, DR; SOLOMON, H
署名单位：
Stanford University
刊物名称：
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
ISSN/ISSBN：
0162-1459
发表日期：
1994
页码：
480-486
关键词：
摘要：
Multidimensional Wilson-Hilferty transformations support Gaussian approximations to certain joint distributions of quadratic forms in jointly Gaussian variates. Central and noncentral joint distributions are studied and applications are noted. Parameters of the approximating distributions are given up to terms of order o(nu-2) in the degrees of freedom nu. Numerical studies validate using these approximations over a range of parameters for an essential subclass of the distributions studied, especially in upper tails.