Approximate ellipsoidal tolerance regions for multivariate normal populations

For the approximate computation of an ellipsoidal tolerance region for multivariate normal distributions, an approximation due to Liu et al. (2008) for the cdf of a positive linear combination of independent non-central chisquare random variables is used, along with Monte Carlo simulation. Such a computational approach is originally due to Krishnamoorthy and Mondal (2006, 2008), and the present work provides an improvement.

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Year of publication:	2015
Authors:	Mbodj, Malick ; Mathew, Thomas
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 41-45
Publisher:	Elsevier
Subject:	Imhof’s approximation \| Linear combination of non-central chisquare \| Liu \| Tang and Zhang approximation \| Tolerance factor

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189365