Berry-Esséen bound for high dimensional asymptotic approximation of Wilks' Lambda distribution

Let [Lambda]=Se/Se+Sh, where Sh and Se are independently distributed as Wishart distributions Wp(q,[Sigma]) and Wp(n,[Sigma]), respectively. Then [Lambda] is distributed as Wilks' lambda distribution [Lambda]p,q,n which appears as the distributions of various multivariate likelihood ratio tests. In this paper, we derive a Berry-Essen bound for a high dimensional asymptotic approximation of the distribution of when p/n-->c[set membership, variant](0,1).

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Year of publication:	2006
Authors:	Ulyanov, Vladimir V. ; Wakaki, Hirofumi ; Fujikoshi, Yasunori
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 12, p. 1191-1200
Publisher:	Elsevier
Keywords:	Asymptotic distribution Berry-Esséen bound High dimensional approximation Wilks' lambda distribution

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

Persistent link: https://www.econbiz.de/10005319403