Accession Number : AD0737598

Title :   On Approximation of Mean and Variance-Covariance Matrices of Transformations of Multivariate Random Variables.

Descriptive Note : Research and development technical rept.,

Corporate Author : ARMY ELECTRONICS COMMAND WHITE SANDS MISSILE RANGE N MEX ATMOSPHERIC SCIENCES LAB

Personal Author(s) : Miller,Walter B.

Report Date : NOV 1971

Pagination or Media Count : 24

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)

Descriptors :   (*MULTIVARIATE ANALYSIS, RANDOM VARIABLES), (*STOCHASTIC PROCESSES, THEOREMS), MATRICES(MATHEMATICS), PROBABILITY, DIFFERENTIAL EQUATIONS, APPROXIMATION(MATHEMATICS), TRANSFORMATIONS(MATHEMATICS)

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE