Approximating by the Wishart distribution
From MaRDI portal
Publication:1915256
DOI10.1007/BF01856546zbMath0843.62061MaRDI QIDQ1915256
Dietrich von Rosen, Tõnu Kollo
Publication date: 21 August 1996
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Wishart distribution; Edgeworth expansion; Taylor expansions; sample covariance matrix; non-central Wishart distribution; matrix derivatives; density approximation; multivariate cumulants; functions with matrix arguments; powers of Kronecker products
62H10: Multivariate distribution of statistics
62E17: Approximations to statistical distributions (nonasymptotic)
15B52: Random matrices (algebraic aspects)
Related Items
Cites Work
- Chi squared approximations to the distribution of a sum of independent random variables
- On the approximation of noncentral Wishart distribution by Wishart distribution. I. General theory
- Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
- On Multivariate Edgeworth Expansions
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item