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Edgeworth expansion of Wilks' lambda statistic

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  • Wakaki, Hirofumi

Abstract

An asymptotic expansion of the null distribution of the Wilks' lambda statistic is derived when some of the parameters are large. Cornish-Fisher expansions of the upper percent points are also obtained. A monotone transformation which reduces the third and the fourth order cumulants is also derived. In order to study the accuracy of the approximation formulas, some numerical experiments are done, with comparing to the classical expansions when only the sample size tends to infinity.

Suggested Citation

  • Wakaki, Hirofumi, 2006. "Edgeworth expansion of Wilks' lambda statistic," Journal of Multivariate Analysis, Elsevier, vol. 97(9), pages 1958-1964, October.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:9:p:1958-1964
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    Cited by:

    1. Yanagihara, Hirokazu & Oda, Ryoya & Hashiyama, Yusuke & Fujikoshi, Yasunori, 2017. "High-dimensional asymptotic behavior of the difference between the log-determinants of two Wishart matrices," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 70-86.

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