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