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On the asymptotic a...
On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian random vector
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- Kotsiuba, Ihor (författare)
- van Franko National University, Lviv, Ukraine,Ivan Franko National University of Lviv
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- Mazur, Stepan, 1988- (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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Franko, Ivan (författare)
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(creator_code:org_t)
- Kyiv, Ukraine : Taras Shevchenko National University of Kyiv, 2015
- 2015
- Engelska.
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Serie: Working Papers in Statistics
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Ingår i: Theory of Probability and Mathematical Statistics. - Kyiv, Ukraine : Taras Shevchenko National University of Kyiv. - 0868-6904 .- 0094-9000 .- 1547-7363. ; 93, s. 95-104
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Abstract
Ämnesord
Stäng
- In this paper we study the distribution of the product of an inverse Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Wishart distribution
- multivariate normal distribution
- asymptotic distribution
- integral approximation.
- Mathematics
- Matematik
- Wishart distribution
- multivariate normal distribution
- integral approximation
- Asymptotic distribution
- Integral approximation
- Multivariate normal distribution
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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