On a new transformation to normality

A Gaussian approximation to the distribution of the nonnegative random variable Y is developed using the Wilson and Hilferty (1931) approach. This approximation uses the symmetrizing transformation ((Y + b)/k₁)^h where k₁ is the first moment of Y and h and b are determined from the first three cumulants of Y. The approximation is illustrated in the case which Y is a non-central chi-square, where numerical evaluations indicate that the new transformation is an improvement over existing ones, especially for small values of k₁.     

累量域二维波达方向估计方法

提出了一种新的适合任意高斯噪声环境的高分辨二维波达方向(DOA)估计方法——联合对角化4阶累积量-DOA矩阵方法。该方法以阵列的特殊结构为基础,利用四阶累积量构建3个子阵,采用联合对角化技术获得信号的二维角估计,适用于存在一维角度兼并的情况,且无需二维谱峰搜索和参数配对,从而避免了配对算法在低信噪比、小角间距或者复杂的信号传播环境下所带来的弊端。仿真结果证明了该方法的有效性。     

ON THE FOURTH ROOT TRANSFORMATION OF CHI-SQUARE

We show that, within the family of power transformations of a Chisquare variable, the square and fourth roots minimize Pearson's index of kurtosis. Two new transtormations of the fourth root, a symmetrized-truncated version and its linear combination with the square root are also studied. The first transformation shows a considerable improvement over the fourth root while the second one turns out to be even more accurate than Hilferty-Wilson's cube root transformation.     

Multivariate discrete exponential family of distributions and their properties

The paper generalizes the univariate discrete exponential family of distributions to the multivariate situation, and this generalization includes the multivariate power series distributions, the multivariate Lagrangian distributions, and the modified multivariate power-series distributions. This provides a unified approach for the study of these three classes of distributions. We obtain recurrence relations for moments and cumulants, and the maximum likelihood estimation for the discrete exponential family. These results are applied to some multivariate discrete distributions like the Lagrangian Poisson, Lagrangian (negative) multinomial, logarithmic series distributions and multivariate Lagrangian negative binomial distribution.     

PHASE RANDOMIZATION: A CONVERGENCE DIAGNOSTIC TEST FOR MCMC

Most Markov chain Monte Carlo (MCMC) users address the convergence problem by applying diagnostic tools to the output produced by running their samplers. Potentially useful diagnostics can be borrowed from diverse areas such as time series. One such method is phase randomization. This paper describes this method in the context of MCMC, summarizes its characteristics, and contrasts its performance with those of the more common diagnostic tests for MCMC. It is observed that the new tool contributes information about third‐ and higher‐order cumulant behaviour which is important in characterizing certain forms of nonlinearity and non‐stationarity.     

Modified Edgeworth and Cornish-Fisher Expansions with Unknown Cumulants and no Singularities

In this paper modified Edgeworth and Cornish-Fisher expansions are introduced. These expansions do not require knowing the cumulants of the distributions involved. More importantly, the new expansions have no singularities.     

The cornish-fisher expansion for estimating percentage points: a numerical perspective

The expansion, in standard form, consists of some 66 terms involving polyno - mials in a normal deviate, and cumulants and cumulant products to order ten. An assumed order of magnitude reduces these terms to eight groups. Sign patterns in the terms are not obvious. We take a number of Pearson densities and assess from the expansions a set of standard percentiles (1%, 5%, 95%, 99%). Validity of the as-sessments is pivoted on two alternative models:(i) the Bowman-Shenton algorithm for percentage points of Pearson densities, (ii) the 4-moment Johnson translation model. This approach has wide application since the models have proved to be remarkably reliable when compared, and also when compared with simulation as-sessments. A brief account is given of acceleration of convergence for the series, but there seems to be no analogue of the Padè or Levin algorithms.

The Cornish-Fisher application to the Fisher z-statistic is studied and the cumu- lants defined in general. Irwin's expression for the density of means from Pearson Type II is recalled. There is an error in the Cornish-Fisher treatment of the z-statistic but this is one which has its source in the write-up. Again the Irwin density in the general case has a factor missing.     

On the differences of two generalized negative binomial variates

The generalized negative binomial (GNB) distribution was defined by Jain and Consul (SIAM J. Appl. Math., 21 (1971)) and was obtained as a particular family of Lagrangian distributions by Consul and Shenton (SIAM J. Appl. Math., 23 (1973)). Consul and Shenton also gave the probability generating function (p.g.f.) and proved many properties of the GNBD. Consul and Gupta (SIAM J. Appl. Math., 39 (1980)) proved that the parameter β must be either zero or 1≤ β ≤ θ^-1 for the GNBD to be a true probability distribution and proved some other properties. Numerous applications and properties of this model have been studied by various researchers. Considering two independent GNB variates X and Y, with parameters (m,β,θ) and (n,β,θ) respectively, the probability distribuition of D = Y-X and its p.g.f. and cumulant generating function have been obtained. A recurrence relation between the cumulants has been established and the first four cumulants, β₁ and β₂ have been derived. Also some moments of the absolute difference |Y-X| have been obtained.