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http://dx.doi.org/10.5351/KJAS.2016.29.4.571

Saddlepoint approximation to the distribution function of quadratic forms based on multivariate skew-normal distribution  

Na, Jonghwa (Department of Information & Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.4, 2016 , pp. 571-579 More about this Journal
Abstract
Most of studies related to the distributions of quadratic forms are conducted under the assumption of multivariate normal distribution. In this paper, we suggested an approximation to the distribution of quadratic forms based on multivariate skew-normal distribution as alternatives for multivariate normal distribution. Saddlepoint approximations are considered and the accuracy of the approximations are verified through simulation studies.
Keywords
quadratic forms; multivariate skew-normal; saddlepoint approximation; cumulant generating function;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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