Sharp estimates for the CDF of quadratic forms of MPE random vectors

In this paper we develop an efficient analytical expansion of the cumulative distribution function (cdf) where with n>=2, follows a multivariate power exponential distribution (MPE). Our approach provides a sharp estimate of the cumulative distribution function of a quadratic form of MPE, together with explicit error estimates.

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Year of publication:	2010
Authors:	Sadefo Kamdem, J.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 8, p. 1755-1771
Publisher:	Elsevier
Keywords:	Quadratic form Non-Gaussian Stationary phase Asymptotic analysis Multivariate analysis Random vector

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

Persistent link: https://www.econbiz.de/10008488071