On Approximation of Mean and Variance-Covariance Matrices of Transformations of Multivariate Random Variables.
Abstract
A rigorous study of some techniques, often loosely grouped under the heading of differential approximations of variance, is presented. The emphasis is on the establishment of a rationale for the use or rejection of such techniques and on extending their range of applicability. In particular were considered the approximations of the vector of means and variance-covariance matrix of a multivariate random variable obtained as a transformation of a given multivariate random variable whose vector of means and variance-covariance matrix, but not necessarily the joint distribution, are known. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Nov 01, 1971
- Accession Number
- AD0737598
Entities
People
- Walter B. Miller
Organizations
- Atmospheric Sciences Laboratory