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Multivariate Analysis and Its Applications || Unbiasedness of a Multivariate Outlier Test for Elliptically Contoured Distributions

✍ Scribed by Jian-Xin Pan and Xue-Ren Wang

Book ID
124984534
Publisher
Institute of Mathematical Statistics
Year
1994
Weight
554 KB
Volume
24
Category
Article
ISSN
0749-2170

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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