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

- Journal title : Korean Journal of Applied Statistics
- Volume 29, Issue 4, 2016, pp.571-579
- Publisher : The Korean Statistical Society
- DOI : 10.5351/KJAS.2016.29.4.571

Title & Authors

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

Na, Jonghwa;

Na, Jonghwa;

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;

Language

Korean

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