Small-t Expansion for the Hartman-Watson Distribution
| Autor: | Dan Pirjol |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
021103 operations research Distribution (number theory) General Mathematics 0211 other engineering and technologies Applied probability 02 engineering and technology 01 natural sciences 010104 statistics & probability Saddle point Probability distribution 0101 mathematics Mathematics Mathematical physics |
| Zdroj: | Methodology and Computing in Applied Probability. 23:1537-1549 |
| ISSN: | 1573-7713 1387-5841 |
| DOI: | 10.1007/s11009-020-09827-5 |
| Popis: | The Hartman-Watson distribution with density $f_{r}(t)=\frac {1}{I_{0}(r)} \theta (r,t)$ with r > 0 is a probability distribution defined on $t \in \mathbb {R}_{+}$ , which appears in several problems of applied probability. The density of this distribution is given by an integral θ(r, t) which is difficult to evaluate numerically for small t → 0. Using saddle point methods, we obtain the first two terms of the t → 0 expansion of θ(ρ/t, t) at fixed ρ > 0. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full text from SpringerLink