Estimation of the confidence limits for the quadratic forms in normal variables using a simple Gaussian distribution approximation (Q2488386): Difference between revisions
From MaRDI portal
Revision as of 14:32, 24 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimation of the confidence limits for the quadratic forms in normal variables using a simple Gaussian distribution approximation |
scientific article |
Statements
Estimation of the confidence limits for the quadratic forms in normal variables using a simple Gaussian distribution approximation (English)
0 references
24 May 2006
0 references
The distribution of a quadratic form \(Q=\sum_{k=1}^n d_k y_k^2\), where \(y_k\) are i.i.d. standard Gaussian variables, is approximated by \({\mathcal N}(\sum_{k=1}^n d_k, 2\sum_{k=1}^n d_k^2)\). The related approximation for quantiles of \(Q\) (one-sided confidence bounds) is analysed via simulations. E.g., it is noted that for \(n=100\) the relative error of such approximation is less then 7\%.
0 references
quantile
0 references
one-side confidence bound
0 references
relative error
0 references
0 references