An Asymptotic Expansion for the Noncentral Wishart Distribution

Anderson, George A.

Ann. Math. Statist., Tome 41 (1970) no. 6, p. 1700-1707 / Harvested from Project Euclid

Résumé

The noncentral Wishart density depends on a definite integral over the group of orthogonal matrices. This integral defines a function of the latent roots of a matrix involving the parent normal vectors and their means and covariances. An expansion for the integral in increasing powers of the reciprocals of these roots is developed using two distinct methods--an integration procedure and a substitution into a set of differential equations.

Publié le : 1970-10-14
Classification:

@article{1177696814,
     author = {Anderson, George A.},
     title = {An Asymptotic Expansion for the Noncentral Wishart Distribution},
     journal = {Ann. Math. Statist.},
     volume = {41},
     number = {6},
     year = {1970},
     pages = { 1700-1707},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177696814}
}

Anderson, George A. An Asymptotic Expansion for the Noncentral Wishart Distribution. Ann. Math. Statist., Tome 41 (1970) no. 6, pp.  1700-1707. http://gdmltest.u-ga.fr/item/1177696814/