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Details for article 5 of 7 found articles
| Title: |
On approximating the non-central wishart distribution by central wishart distribution a monte carlo study |
| Author: |
Tan, W. Y. Gupta, R. P. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 11 (1982) nr. 1 pages 47-64 |
| Year: |
1982 |
| Contents: |
This paper provides a Monte Carlo study of approximating the non-central Wishart distribution by Central Wishart distribution by mean of 1. Multivariate Gram-Chalier expansion and 2. Laguerre polynomial expansion. For assessing the closeness of these approximations, 1,000 independent 2×2 non-central Wishart matrices are generated by computer. The numerical results indicate that the multivariate Gram-Chalier expansion provides a close approximation to the non-central Wishart distribution as long as the correlation coefficient is less than 0.8. Also, it appears that the Gram-Chalier expansion approximation is better than the Laguerre polynomial expansion approximation when the probability values are large. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 5 of 7 found articles
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