A multivariate normal approximation for the Dirichlet density and some applications

DOI10.1002/STA4.410MaRDI QIDQ6362111zbMATH OpenOpenAlexFDO

Authors Frédéric Ouimet

Publication date 4 March 2021

Full work available at URL https://doi.org/10.1002/sta4.410

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: In this short note, we prove an asymptotic expansion for the ratio of the Dirichlet density to the multivariate normal density with the same mean and covariance matrix. The expansion is then used to derive an upper bound on the total variation between the corresponding probability measures and rederive the asymptotic variance of the Dirichlet kernel estimators introduced by Aitchison & Lauder (1985) and studied theoretically in Ouimet (2020). Another potential application related to the asymptotic equivalence between the Gaussian variance regression problem and the Gaussian white noise problem is briefly mentioned but left open for future research.

Cited in

(2)

• The Bayesian central limit theorem for exponential family distributions: a geometric approach
• Normal approximations for the multivariate inverse Gaussian distribution and asymmetric kernel smoothing on d-dimensional half-spaces

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