A Unified Approach to the Approximation of Multivariate Densities

Tõnu Kollo and Dietrich Von Rosen

Scandinavian Journal of Statistics, 1998, vol. 25, issue 1, 93-109

Abstract: Approximation of a density by another density is considered in the case of different dimensionalities of the distributions. The results have been derived by inverting expansions of characteristic functions with the help of matrix techniques. The approximations obtained are all functions of cumulant differences and derivatives of the approximating density. The multivariate Edgeworth expansion follows from the results as a special case. Furthermore, the density functions of the trace and eigenvalues of the sample covariance matrix are approximated by the multivariate normal density and a numerical example is given

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:25:y:1998:i:1:p:93-109

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