On Approximation of Mean and Variance-Covariance Matrices of Transformations of Joint Random Variables.
Abstract
A rationale for the use or rejection of what is loosely called differential approximations of variance, and the extension of the techniques to a wider realm of applicability is presented. The study also includes a discussion of approximations of the mean and variance-covariance matrix of a joint random variable obtained as a transformation of a given combined random variable whose mean and variance-covariance matrix are known but not necessarily the joint distribution. Four theorems are proved which give both form and rationale for the approximations. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- May 01, 1971
- Accession Number
- AD0730302
Entities
People
- Walter B. Miller
Organizations
- Atmospheric Sciences Laboratory