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Error bounds for asymptotic expansions of Wilks' lambda distribution

Author

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  • Fujikoshi, Yasunori
  • Ulyanov, Vladimir V.

Abstract

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] has Wilks' lambda distribution [Lambda]p,q,n which appears as the distributions of various multivariate likelihood ratio tests. This paper is concerned with theoretical accuracy for asymptotic expansions of the distribution of T=-nlog[Lambda]. We derive error bounds for the approximations. It is necessary to underline that our error bounds are given in explicit and computable forms.

Suggested Citation

  • Fujikoshi, Yasunori & Ulyanov, Vladimir V., 2006. "Error bounds for asymptotic expansions of Wilks' lambda distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(9), pages 1941-1957, October.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:9:p:1941-1957
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    References listed on IDEAS

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    1. Fujikoshi, Y. & Ulyanov, V.V. & Shimizu, R., 2005. "L1-norm error bounds for asymptotic expansions of multivariate scale mixtures and their applications to Hotelling's generalized," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 1-19, September.
    2. Ryoichi Shimizu & Yasunori Fujikoshi, 1997. "Sharp Error Bounds for Asymptotic Expansions of the Distribution Functions for Scale Mixtures," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 285-297, June.
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    Cited by:

    1. Pham-Gia, T., 2008. "Exact distribution of the generalized Wilks's statistic and applications," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1698-1716, September.

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