Approximate ellipsoidal tolerance regions for multivariate normal populations

作者：Mbodj Malick; Mathew Thomas^*

来源：Statistics & Probability Letters, 2015, 97: 41-45.

DOI：10.1016/j.spl.2014.11.001

• Imhof's approximation
• Linear combination of non-central chisquare
• Liu, Tang and Zhang approximation
• Tolerance factor

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.

• 出版日期2015-2