The noncentral Wishart distribution has become more mainstream in statistics as the prevalence of applications involving sample covariances with underlying multivariate Gaussian populations as dramatically increased since the advent of computers. Multiple sources in the literature deal with local approximations of the noncentral Wishart distribution with respect to its central counterpart. However, no source has yet has developed explicit local approximations for the (central) Wishart distribution in terms of a normal analogue, which is important since Gaussian distributions are at the heart of the asymptotic theory for many statistical methods. In this note, we prove a precise asymptotic expansion for the ratio of the Wishart density to the symmetric matrix-variate normal density with the same mean and covariances. The result is then used to derive an upper bound on the total variation between the corresponding probability measures and to find the asymptotic variance of a new density estimator on the space of positive definite matrices with a Wishart asymmetric kernel.
翻译:非中Wishart分布在统计中已变得更加主流,因为自计算机出现以来,与基础多变Gaussian人口有关的抽样共变应用的普及程度随着计算机的出现而急剧增加。文献中的多种来源涉及非中Wishart分布相对于其中央对应方的局部近似值。然而,尚未有来源以正常的类似值为(中央)Wishart分布制定明确的本地近似值,这一点很重要,因为Gaussian分布是许多统计方法的无药可治理论的核心。在本说明中,我们证明Wishart密度与对称矩阵变异正常密度之比的精确的无药性扩张,与平均值和共变异性相同。其结果被用来对相应概率计量之间的全部差异产生一个上限,并发现用Wishart不对称内核的正确定基质空间上的新密度估计值的无药性差异。