Article ID Journal Published Year Pages File Type
1149651 Journal of Statistical Planning and Inference 2012 16 Pages PDF
Abstract

We study the asymptotic behavior of the weighted sum of correlated chi-squared random variables. Both chi-squared and normal distributions are proved to approximate the exact distribution. These two approximations are established by matching the first two cumulants. Simulation comparison is made to study the performance of two approximations numerically. We find that the chi-squared approximation performs better than the normal one in the study.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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