Sharp estimates for the CDF of quadratic forms of MPE random vectors

Jules Sadefo Kamdem

Journal of Multivariate Analysis, 2010, vol. 101, issue 8, 1755-1771

Abstract: In this paper we develop an efficient analytical expansion of the cumulative distribution function (cdf) where with n>=2, follows a multivariate power exponential distribution (MPE). Our approach provides a sharp estimate of the cumulative distribution function of a quadratic form of MPE, together with explicit error estimates.

Keywords: Quadratic; form; Non-Gaussian; Stationary; phase; Asymptotic; analysis; Multivariate; analysis; Random; vector (search for similar items in EconPapers)
Date: 2010
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Working Paper: Sharp estimates for the CDF of quadratic forms of MPE random vectors (2010)
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