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Multivariate Analysis and Its Applications || The Test and Confidence Interval for a Change-Point in Mean Vector of Multivariate Normal Distribution

✍ Scribed by Wang Jing-Long and Wang Jin


Book ID
124984529
Publisher
Institute of Mathematical Statistics
Year
1994
Weight
984 KB
Volume
24
Category
Article
ISSN
0749-2170

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A Formula for the Tail Probability of a
✍ JΓΌrg HΓΌsler; Regina Y. Liu; Kesar Singh πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 113 KB

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