Asymptotic Expansions for Large Deviation Probabilities of Noncentral Generalized Chi-Square Distributions

W. -D. Richter and J. Schumacher

Journal of Multivariate Analysis, 2000, vol. 75, issue 2, 184-218

Abstract: Asymptotic expansions for large deviation probabilities are used to approximate the cumulative distribution functions of noncentral generalized chi-square distributions, preferably in the far tails. The basic idea of how to deal with the tail probabilities consists in first rewriting these probabilities as large parameter values of the Laplace transform of a suitably defined function fk; second making a series expansion of this function, and third applying a certain modification of Watson's lemma. The function fk is deduced by applying a geometric representation formula for spherical measures to the multivariate domain of large deviations under consideration. At the so-called dominating point, the largest main curvature of the boundary of this domain tends to one as the large deviation parameter approaches infinity. Therefore, the dominating point degenerates asymptotically. For this reason the recent multivariate asymptotic expansion for large deviations in Breitung and Richter (1996, J. Multivariate Anal.58, 1-20) does not apply. Assuming a suitably parametrized expansion for the inverse g-1 of the negative logarithm of the density-generating function, we derive a series expansion for the function fk. Note that low-order coefficients from the expansion of g-1 influence practically all coefficients in the expansion of the tail probabilities. As an application, classification probabilities when using the quadratic discriminant function are discussed.

Keywords: asymptotic expansion; tail probabilities; noncentral distribution; spherical distribution; generalized chi-square distribution; geometric representation; large deviations; Watson's lemma; classification probabilities; quadratic discriminant function (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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