Evaluation of One-Sided Percentage Points of the Singular Multivariate Normal Distribution
Publication Type
Journal Article
Publication Date
1995
Abstract
This paper presents a new theorem, as a substitute for existing results which are shown to have some errors, for evaluating the exact one-sided percentage points of the multivariate normal distribution with a singular negative product correlation structure. By extending the result from the multivariate normal distribution to the multivariate t-distribution with corresponding singular correlation structure, we tabulate the one-sided critical points for the Analysis of Means procedure.
Discipline
Economics
Research Areas
Econometrics
Publication
Journal of Statistical Computation and Simulation
Volume
51
Issue
2
First Page
121
Last Page
135
ISSN
0094-9655
Identifier
10.1080/00949659508811627
Publisher
Taylor and Francis
Citation
KWONG, Koon Shing.
Evaluation of One-Sided Percentage Points of the Singular Multivariate Normal Distribution. (1995). Journal of Statistical Computation and Simulation. 51, (2), 121-135.
Available at: https://ink.library.smu.edu.sg/soe_research/141
Additional URL
https://doi.org/10.1080/00949659508811627