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

DOI10.1007/S00180-015-0625-3MaRDI QIDQ333404zbMATHOpenAlexFDO

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

• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• A holonomic ideal which annihilates the Fisher-Bingham integral
• 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
• Cumulative chi-squared statistic as a tool for testing goodness of fit
• Distribution of a sum of weighted noncentral chi-square variables
• Holonomic gradient descent and its application to the Fisher-Bingham integral
• Holonomic gradient descent for the Fisher-Bingham distribution on the \(d\)-dimensional sphere
• Numerical methods for Laplace transform inversion
• On testing against ordered alternatives in analysis of variance models
• Saddlepoint approximations for the Bingham and Fisher–Bingham normalising constants
• 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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