06-14
Berry-Esseen Type Bounds for Transformations of Chi-Squared Variables and Its Statistical Applications
by Ulyanov, Vladimir V.; Christoph, Gerd; Fujikoshi, Yasunori
Preprint series: 06-14, Preprints
The paper is published: Siberian Mathematical Journal, Vol. 47, No. 6, pp. 1154-1166, 2006
- MSC:
- 62H10 Distribution of statistics
- 62E20 Asymptotic distribution theory
Abstract: We get computable error bound of order $O(n^{-1})$ for chi-squared with 1 degree of freedom approximation of transformed chi-squared random variable with $n$ degrees of freedom. The result is applied for likelihood ratio statistics in multivariate case.
Keywords: Computable error bound, chi-squared approximation, likelihood ratio statistics, transformation of random variables
The author(s) agree, that this abstract may be stored asfull text and distributed as such by abstracting services.