Berry-Esséen bound for high dimensional asymptotic approximation of Wilks' Lambda distribution

Vladimir V. Ulyanov, Hirofumi Wakaki and Yasunori Fujikoshi

Statistics & Probability Letters, 2006, vol. 76, issue 12, 1191-1200

Abstract: Let [Lambda]=Se/Se+Sh, where Sh and Se are independently distributed as Wishart distributions Wp(q,[Sigma]) and Wp(n,[Sigma]), respectively. Then [Lambda] is distributed as Wilks' lambda distribution [Lambda]p,q,n which appears as the distributions of various multivariate likelihood ratio tests. In this paper, we derive a Berry-Essen bound for a high dimensional asymptotic approximation of the distribution of when p/n-->c[set membership, variant](0,1).

Keywords: Asymptotic; distribution; Berry-Esséen; bound; High; dimensional; approximation; Wilks'; lambda; distribution (search for similar items in EconPapers)
Date: 2006
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