A Unified Approach to the Approximation of Multivariate Densities |
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Authors: | Tõ nu Kollo,& Dietrich von Rosen |
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Affiliation: | Tartu University,;Uppsala University |
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Abstract: | Approximation of a density by another density is considered in the case of different dimensionalities of the distributions. The results have been derived by inverting expansions of characteristic functions with the help of matrix techniques. The approximations obtained are all functions of cumulant differences and derivatives of the approximating density. The multivariate Edgeworth expansion follows from the results as a special case. Furthermore, the density functions of the trace and eigenvalues of the sample covariance matrix are approximated by the multivariate normal density and a numerical example is given |
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Keywords: | characteristic function density approximation matrix derivative multivariate cumulants multivariate normal distribution multivariate Taylor expansion |
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