Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549388 | Statistics & Probability Letters | 2015 | 5 Pages |
Abstract
For the approximate computation of an ellipsoidal tolerance region for multivariate normal distributions, an approximation due to Liu et al. (2008) for the cdf of a positive linear combination of independent non-central chisquare random variables is used, along with Monte Carlo simulation. Such a computational approach is originally due to Krishnamoorthy and Mondal (2006, 2008), and the present work provides an improvement.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Malick Mbodj, Thomas Mathew,