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Berry-Esséen bound for high dimensional asymptotic approximation of Wilks' Lambda distribution

Author

Listed:
  • Ulyanov, Vladimir V.
  • Wakaki, Hirofumi
  • Fujikoshi, Yasunori

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] is distributed as Wilks' lambda distribution [Lambda]p,q,n which appears as the distributions of various multivariate likelihood ratio tests. In this paper, we derive a Berry-Essen bound for a high dimensional asymptotic approximation of the distribution of when p/n-->c[set membership, variant](0,1).

Suggested Citation

  • Ulyanov, Vladimir V. & Wakaki, Hirofumi & Fujikoshi, Yasunori, 2006. "Berry-Esséen bound for high dimensional asymptotic approximation of Wilks' Lambda distribution," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1191-1200, July.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:12:p:1191-1200
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