Upper bound for singular normal probability integrals by integration over a hypersphere
Titel:
Upper bound for singular normal probability integrals by integration over a hypersphere
Auteur:
Reyes, J. P. De Los
Verschenen in:
Communications in statistics
Paginering:
Jaargang 19 (1990) nr. 3 pagina's 847-861
Jaar:
1990
Inhoud:
Following an inequality of G. Polya[1949], certain probability integrals, namely[image omitted] of the limiting singular normal distribution of a specified multinomial, are shown to be bounded above by integrals Tk(Uk) of the uncorrelated standard multivariate normal density over k-dimensional hyperspheres *Uk of radius Uk=Uk(y) and center (0,…,0). The hypersphere Uk is so chosen that its k-dimensional volume is equal to the k-dimensional volume of a simplex Rk, the image under a diagonalizing transformation, of the simplicial region of integration fk in Φk(y,R). For a symmetric multinomial, Rk turns out to be a regular simplex and explicit formulas for the upper bound in the equicorrelated-equicoordinate case, with common correlation ρ= -1/k,- are derived in terms of (a) normal density and distribution functions and (b) incomplete gamma-function ratio.
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