Keywords:
Forschungsbericht
Description / Table of Contents:
We consider computational methods for evaluating and approximating multivariate chi-square probabilities in cases where the pertaining correlation matrix or blocks thereof have a low-factorial representation. To this end, techniques from matrix factorization and probability theory are applied. We outline a variety of statistical applications of multivariate chi-square distributions and provide a system of MATLAB programs implementing the proposed algorithms. Computer simulations demonstrate the accuracy and the computational efficiency of our methods in comparison with Monte Carlo approximations, and a real data example from statistical genetics illustrates their usage in practice.
Type of Medium:
Online Resource
Pages:
Online-Ressource (PDF-Datei: 19 S., 257 KB)
,
graph. Darst.
Series Statement:
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik 2005
URL:
https://edocs.tib.eu/files/e01fn14/813163544.pdf
Language:
English
Note:
Systemvoraussetzungen: Acrobat reader.
Permalink