The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Saddlepoint Approximation to the Linear Combination Based on Multivariate Skew-normal Distribution

다변량 왜정규분포 기반 선형결합통계량에 대한 안장점근사

  • Na, Jonghwa (Department of Information & Statistics, Chungbuk National University)
  • Received : 2014.08.19
  • Accepted : 2014.10.10
  • Published : 2014.10.31
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Abstract

Multivariate skew-normal distribution(distribution that includes multivariate normal distribution) has been recently applied to many application areas. We consider saddlepoint approximation for a statistic of linear combination based on a multivariate skew-normal distribution. This approach can be regarded as an extension of Na and Yu (2013) that dealt saddlepoint approximation for the distribution of a skew-normal sample mean for a linear statistic and multivariate version. Simulations results and examples with real data verify the accuracy and applicability of suggested approximations.

다변량 왜정규분포는 다변량 정규분포를 포함하는 분포로 최근 많은 응용분야에서 활용되고 있다. 본 논문에서는 다변량 왜정규분포를 기반으로 하는 선형결합통계량의 분포함수에 대한 안장점근사를 다루었다. 이는 단변량 왜정규분포 기반 표본평균에 대한 Na와 Yu (2013)의 결과를 선형결합 및 다변량의 경우로 확장한 것이다. 모의실험과 실제자료분석을 통해 제안된 근사법의 유용성과 정확도를 확인하였다.

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References

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