The generalized near-integer Gamma distribution: a basis for 'near-exact' approximations to the distribution of statistics which are the product of an odd number of independent Beta random variables

Carlos A. Coelho

Journal of Multivariate Analysis, 2004, vol. 89, issue 2, 191-218

Abstract: In this paper the concept of near-exact approximation to a distribution is introduced. Based on this concept it is shown how a random variable whose exponential has a Beta distribution may be closely approximated by a sum of independent Gamma random variables, giving rise to the generalized near-integer (GNI) Gamma distribution. A particular near-exact approximation to the distribution of the logarithm of the product of an odd number of independent Beta random variables is shown to be a GNI Gamma distribution. As an application, a near-exact approximation to the distribution of the generalized Wilks [Lambda] statistic is obtained for cases where two or more sets of variables have an odd number of variables. This near-exact approximation gives the exact distribution when there is at most one set with an odd number of variables. In the other cases a near-exact approximation to the distribution of the logarithm of the Wilks Lambda statistic is found to be either a particular generalized integer Gamma distribution or a particular GNI Gamma distribution.

Keywords: Product; independent; Beta; variables; Sum; independent; Gamma; variables; Generalized; Wilks; Lambda; Likelihood; ratio; statistic (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (10)

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