IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v25y1998i1p93-109.html
   My bibliography  Save this article

A Unified Approach to the Approximation of Multivariate Densities

Author

Listed:
  • Tõnu Kollo
  • Dietrich Von Rosen

Abstract

Approximation of a density by another density is considered in the case of different dimensionalities of the distributions. The results have been derived by inverting expansions of characteristic functions with the help of matrix techniques. The approximations obtained are all functions of cumulant differences and derivatives of the approximating density. The multivariate Edgeworth expansion follows from the results as a special case. Furthermore, the density functions of the trace and eigenvalues of the sample covariance matrix are approximated by the multivariate normal density and a numerical example is given

Suggested Citation

  • Tõnu Kollo & Dietrich Von Rosen, 1998. "A Unified Approach to the Approximation of Multivariate Densities," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 93-109, March.
    • Handle: RePEc:bla:scjsta:v:25:y:1998:i:1:p:93-109
    DOI: 10.1111/1467-9469.t01-1-00091
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9469.t01-1-00091
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9469.t01-1-00091?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gubhinder Kundhi & Paul Rilstone, 2020. "Simplified Matrix Methods for Multivariate Edgeworth Expansions," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(2), pages 293-326, June.
    2. Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics: From A. L. Nagar to Now," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 17-37, December.
    3. Withers, Christopher S. & Nadarajah, Saralees, 2014. "The dual multivariate Charlier and Edgeworth expansions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 76-85.
    4. Loperfido, Nicola, 2024. "The skewness of mean–variance normal mixtures," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
    5. Kollo, Tõnu & Ruul, Kaire, 2003. "Approximations to the distribution of the sample correlation matrix," Journal of Multivariate Analysis, Elsevier, vol. 85(2), pages 318-334, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:25:y:1998:i:1:p:93-109. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.