응용통계연구 (The Korean Journal of Applied Statistics)

  • 제27권5호
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  • Pages.809-818
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  • 2014
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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다변량 왜정규분포 기반 선형결합통계량에 대한 안장점근사

Saddlepoint Approximation to the Linear Combination Based on Multivariate Skew-normal Distribution

  • Na, Jonghwa (Department of Information & Statistics, Chungbuk National University)
  • 투고 : 2014.08.19
  • 심사 : 2014.10.10
  • 발행 : 2014.10.31
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초록

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.

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.

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참고문헌

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피인용 문헌

  1. Saddlepoint approximation to the distribution function of quadratic forms based on multivariate skew-normal distribution vol.29, pp.4, 2016, https://doi.org/10.5351/KJAS.2016.29.4.571