多元密度函数的大偏差近似

IF 0.8 Q3 STATISTICS & PROBABILITY Mathematical Methods of Statistics Pub Date : 2019-05-03 DOI:10.3103/s1066530719010058

C. Joutard

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引用次数: 1

摘要

通过对归一化累积量生成函数及其导数的若干假设，建立了任意随机向量序列密度的大偏差近似。我们给出了两个统计应用来说明结果，第一个是处理独立样本方差的向量，第二个是高斯多元线性回归模型。最后对这两个例子进行了数值比较。

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A Large Deviation Approximation for Multivariate Density Functions

We establish a large deviation approximation for the density of an arbitrary sequence of random vectors, by assuming several assumptions on the normalized cumulant generating function and its derivatives. We give two statistical applications to illustrate the result, the first one dealing with a vector of independent sample variances and the second one with a Gaussian multiple linear regression model. Numerical comparisons are eventually provided for these two examples.

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来源期刊

Mathematical Methods of Statistics STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： Mathematical Methods of Statistics is an is an international peer reviewed journal dedicated to the mathematical foundations of statistical theory. It primarily publishes research papers with complete proofs and, occasionally, review papers on particular problems of statistics. Papers dealing with applications of statistics are also published if they contain new theoretical developments to the underlying statistical methods. The journal provides an outlet for research in advanced statistical methodology and for studies where such methodology is effectively used or which stimulate its further development.