Approximating by the Wishart distribution

DOI10.1007/BF01856546zbMATH Open0843.62061MaRDI QIDQ1915256FDOQ1915256

Dietrich Von Rosen, Tõnu Kollo

Publication date: 21 August 1996

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

zbMATH Keywords

Edgeworth expansionWishart distributionnon-central Wishart distributionsample covariance matrixTaylor expansionsmatrix derivativesdensity approximationmultivariate cumulantsfunctions with matrix argumentspowers of Kronecker products

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (algebraic aspects) (15B52) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

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• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• On Multivariate Edgeworth Expansions
• 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

Cited In (10)

• Noncentral Wishart matrices, asymptotic normality of vec and smooth statistics
• A generalization of the Wishart distribution
• On a symbolic representation of non-central Wishart random matrices with applications
• Causal Inference in Transcriptome-Wide Association Studies with Invalid Instruments and GWAS Summary Data
• Distribution and density approximation of the co variance matrix in the growth curve model
• Approximations to the distribution of the sample correlation matrix
• A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications
• Approximation of multivariate distribution functions
• Distribution and Density Approximations of a Maximum Likelihood Estimator in the Growth Curve Model
• Multivariate generalized Gram-Charlier series in vector notations

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