Computing and approximating multivariate chi-square probabilities
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2005 | |
dc.contributor.author | Stange, Jens | |
dc.contributor.author | Loginova, Nina | |
dc.contributor.author | Dickhaus, Thorsten | |
dc.date.accessioned | 2016-03-24T17:37:01Z | |
dc.date.available | 2019-06-28T08:12:37Z | |
dc.date.issued | 2014 | |
dc.description.abstract | 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. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 2198-5855 | |
dc.identifier.uri | https://doi.org/10.34657/2153 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2880 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | Bonferroni inequalities | eng |
dc.subject.other | chain factorization | eng |
dc.subject.other | correlation matrix | eng |
dc.subject.other | effective number of tests | eng |
dc.subject.other | linkage disequilibrium | eng |
dc.subject.other | m-factorial matrix | eng |
dc.subject.other | product-type probability approximations | eng |
dc.subject.other | sub-Markovian | eng |
dc.subject.other | Wishart matrix | eng |
dc.title | Computing and approximating multivariate chi-square probabilities | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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