A characterization of multivariate normal distribution and its application
β Scribed by Zhen-Hai Yang; Kai-Tai Fang; Jia-Juan Liang
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 274 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0167-7152
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
An exact asymptotic formula for the tail probability of a multivariate normal distribution is derived. This formula is applied to establish two asymptotic results for the maximum deviation from the mean: the weak convergence to the Gumbel distribution of a normalized maximum deviation and the precis
It is a well-known result (which can be traced back to Gauss) that the only translation family of probability densities on \(\mathbb{R}\) for which the arithmetic mean is a maximum likelihood estimate of the translation parameter originates from the normal density. We generalize this characterizatio