Symbolic Cholesky decomposition of the variance-covariance matrix of the negative multinomial distribution

DOI10.1016/0167-7152(92)90120-TMaRDI QIDQ1200741zbMATH OpenOpenAlexFDO

Authors Masahiko Sagae, Kunio Tanabe

Publication date 16 January 1993

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(92)90120-t

zbMATH Keywords

generating multivariate normal random numbersmultivariate normal density approximationnegative multinomial distributionrecursive algorithmsquare-root-free Cholesky decompositionsymbolic Cholesky factorssymbolic formulavariance- covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Random number generation in numerical analysis (65C10)

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Cites work

• scientific article; zbMATH DE number 3248502 (Why is no real title available?)
• Symbolic Cholesky decomposition of the variance-covariance matrix of the negative multinomial distribution

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(4)

• Symbolic Cholesky decomposition of the variance-covariance matrix of the negative multinomial distribution
• A Schur complement approach for computing subcovariance matrices arising in a road safety measure modelling
• scientific article; zbMATH DE number 409722 (Why is no real title available?)
• Asymptotic comparison of negative multinomial and multivariate normal experiments

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