Exact distribution of positive linear combinations of inverted chi-square random variables with odd degrees of freedom

2002 ◽  
Vol 56 (1) ◽  
pp. 45-50 ◽  
Author(s):  
Viktor Witkovský
Stats ◽  
2020 ◽  
Vol 3 (3) ◽  
pp. 330-342
Author(s):  
Wolf-Dieter Richter

We prove that the Behrens–Fisher statistic follows a Student bridge distribution, the mixing coefficient of which depends on the two sample variances only through their ratio. To this end, it is first shown that a weighted sum of two independent normalized chi-square distributed random variables is chi-square bridge distributed, and secondly that the Behrens–Fisher statistic is based on such a variable and a standard normally distributed one that is independent of the former. In case of a known variance ratio, exact standard statistical testing and confidence estimation methods apply without the need for any additional approximations. In addition, a three pillar bridges explanation is given for the choice of degrees of freedom in Welch’s approximation to the exact distribution of the Behrens–Fisher statistic.


2019 ◽  
Vol 22 (1) ◽  
pp. 180-184
Author(s):  
Tran Loc Hung

The chi-square distribution with degrees of freedom has an important role in probability, statistics and various applied fields as a special probability distribution. This paper concerns the relations between geometric random sums and chi-square type distributions whose degrees of freedom are geometric random variables. Some characterizations of chi-square type random variables with geometric degrees of freedom are calculated. Moreover, several weak limit theorems for the sequences of chi-square type random variables with geometric random degrees of freedom are established via asymptotic behaviors of normalized geometric random sums.


2020 ◽  
Vol 70 (1) ◽  
pp. 213-232
Author(s):  
Tran Loc Hung

AbstractThe purpose of this paper is to study a chi-square-type distribution who degrees of freedom are geometric random variables in connection with weak limiting distributions of geometric random sums of squares of independent, standard normal distributed random variables. Some characteristics of chi-square-type random variables with geometrically distributed degrees of freedom including probability density function, probability distribution function, mean and variance are calculated. Some asymptotic behaviors of chi-square-type random variables with geometrically distributed degrees of freedom are also established via weak limit theorems for normalized geometric random sums of squares of independent, standard normal distributed random variables. The rates of convergence in desired weak limit theorems also estimated through Trotter’s distance. The received results are extensions and generalizations of several known results.


1998 ◽  
Vol 14 (3) ◽  
pp. 339-354 ◽  
Author(s):  
Stefan Mittnik ◽  
Svetlozar T. Rachev ◽  
Jeong-Ryeol Kim

The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.


Author(s):  
T. V. Oblakova

The paper is studying the justification of the Pearson criterion for checking the hypothesis on the uniform distribution of the general totality. If the distribution parameters are unknown, then estimates of the theoretical frequencies are used [1, 2, 3]. In this case the quantile of the chi-square distribution with the number of degrees of freedom, reduced by the number of parameters evaluated, is used to determine the upper threshold of the main hypothesis acceptance [7]. However, in the case of a uniform law, the application of Pearson's criterion does not extend to complex hypotheses, since the likelihood function does not allow differentiation with respect to parameters, which is used in the proof of the theorem mentioned [7, 10, 11].A statistical experiment is proposed in order to study the distribution of Pearson statistics for samples from a uniform law. The essence of the experiment is that at first a statistically significant number of one-type samples from a given uniform distribution is modeled, then for each sample Pearson statistics are calculated, and then the law of distribution of the totality of these statistics is studied. Modeling and processing of samples were performed in the Mathcad 15 package using the built-in random number generator and array processing facilities.In all the experiments carried out, the hypothesis that the Pearson statistics conform to the chi-square law was unambiguously accepted (confidence level 0.95). It is also statistically proved that the number of degrees of freedom in the case of a complex hypothesis need not be corrected. That is, the maximum likelihood estimates of the uniform law parameters implicitly used in calculating Pearson statistics do not affect the number of degrees of freedom, which is thus determined by the number of grouping intervals only.


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