Approximate ellipsoidal tolerance regions for multivariate normal populations

Malick Mbodj and Thomas Mathew

Statistics & Probability Letters, 2015, vol. 97, issue C, 41-45

Abstract: For the approximate computation of an ellipsoidal tolerance region for multivariate normal distributions, an approximation due to Liu et al. (2008) for the cdf of a positive linear combination of independent non-central chisquare random variables is used, along with Monte Carlo simulation. Such a computational approach is originally due to Krishnamoorthy and Mondal (2006, 2008), and the present work provides an improvement.

Keywords: Imhof’s approximation; Linear combination of non-central chisquare; Liu, Tang and Zhang approximation; Tolerance factor (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.11.001

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