Moments of coverage of a random ellipsoid

DOI10.1007/BF02482497MaRDI QIDQ1073500zbMATH OpenOpenAlexFDO

Authors Michael Evans

Publication date 1986

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02482497

zbMATH Keywords

approximationscontent at confidence leveldistribution of coveragemoments of coveragenormal distributionquadratic form in normal variablesrandom ellipsoidtolerance regions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)

Review text

Exact expressions are obtained for the moments of coverage of the random ellipsoid \[ T_ r(\bar x,S(X))=\{y| (y-\bar x)'S^{-1}(X)(y-\bar x)\leq r\}, \] where \(X=(x_ 1,...,x_ n)\) is a sample from a \(N_ p(\mu,\Sigma)\) distribution. This leads to approximations for the distribution of coverage and a solution to a problem in tolerance regions. An alternative expression is obtained for the distribution function of a quadratic form in normal variables.

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Cites work

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Cited in

(3)

• Approximate ellipsoidal tolerance regions for multivariate normal populations
• James-Stein type confidence ellipsoid and its coverage probability
• scientific article; zbMATH DE number 922561 (Why is no real title available?)

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