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

다변량 왜정규분포 기반 이차형식의 분포함수에 대한 안장점근사

Na, Jonghwa
나종화

  • Received : 2016.02.03
  • Accepted : 2016.04.25
  • Published : 2016.06.30

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

References

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Acknowledgement

Supported by : 충북대학교