Holonomic gradient method for distribution function of a weighted sum of noncentral chi-square random variables

DOI10.1007/S00180-015-0625-3MaRDI QIDQ333404zbMATH OpenOpenAlexFDO

Authors Tamio Koyama, Akimichi Takemura

Publication date 28 October 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.00378

zbMATH Keywords

algebraic statisticscumulative chi-square distributionFisher-Bingham distributiongoodness of fit

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Sheaves of differential operators and their modules, (D)-modules (32C38)

Abstract: We apply the holonomic gradient method to compute the distribution function of a weighted sum of independent noncentral chi-square random variables. It is the distribution function of the squared length of a multivariate normal random vector. We treat this distribution as an integral of the normalizing constant of the Fisher-Bingham distribution on the unit sphere and make use of the partial differential equations for the Fisher-Bingham distribution.

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Cites work

• Q5512461 scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Q5687551 scientific article; zbMATH DE number 957960 (Why is no real title available?)
• A holonomic ideal which annihilates the Fisher-Bingham integral A holonomic ideal which annihilates the Fisher-Bingham integral
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Calculating the normalising constant of the Bingham distribution on the sphere using the holonomic gradient method Calculating the normalising constant of the Bingham distribution on the sphere using the holonomic gradient method
• Cumulative chi-squared statistic as a tool for testing goodness of fit Cumulative chi-squared statistic as a tool for testing goodness of fit
• Distribution of a sum of weighted noncentral chi-square variables Distribution of a sum of weighted noncentral chi-square variables
• Holonomic gradient descent and its application to the Fisher-Bingham integral Holonomic gradient descent and its application to the Fisher-Bingham integral
• Holonomic gradient descent for the Fisher-Bingham distribution on the d-dimensional sphere Holonomic gradient descent for the Fisher-Bingham distribution on the \(d\)-dimensional sphere
• Numerical methods for Laplace transform inversion Numerical methods for Laplace transform inversion
• On testing against ordered alternatives in analysis of variance models On testing against ordered alternatives in analysis of variance models
• Saddlepoint approximations for the Bingham and Fisher–Bingham normalising constants Saddlepoint approximations for the Bingham and Fisher–Bingham normalising constants
• The holonomic rank of the Fisher-Bingham system of differential equations The holonomic rank of the Fisher-Bingham system of differential equations

Cited in

(8)

• The volume-of-tube method for Gaussian random fields with inhomogeneous variance
• The holonomic gradient method for the distribution function of the largest root of a Wishart matrix
• Holonomic properties and recurrence formula for the distribution of sample correlation coefficient
• Computation of the expected value of a function of a chi-distributed random variable
• Distribution of a sum of weighted noncentral chi-square variables
• Estimation of exponential-polynomial distribution by holonomic gradient descent
• Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method
• On the exact maximum likelihood inference of Fisher-Bingham distributions using an adjusted holonomic gradient method

Describes a project that uses

Uses Software

• GSL
• hgm R

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