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

Jules Sadefo Kamdem

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Abstract: n this paper we develop an efficient analytical expansion of the cumulative distribution function (cdf) XBX^t where X=(X"1,...,X"n"+"1) 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: Statistics; .; Quadratic; function; .; Quadratic; form (search for similar items in EconPapers)
Date: 2010-09
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Published in Journal of Multivariate Analysis, 2010, 101 (8), pp.1755-1771. ⟨10.1016/J.JMVA.2010.03.002⟩

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Journal Article: Sharp estimates for the CDF of quadratic forms of MPE random vectors (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02935500

DOI: 10.1016/J.JMVA.2010.03.002

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