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Effect on probabilities and quantiles of adding a quantity with small variance.
- Source :
- Australian & New Zealand Journal of Statistics; Jun2002, Vol. 44 Issue 2, p213, 8p
- Publication Year :
- 2002
-
Abstract
- This paper gives simple approximations for the distribution function and quantiles of the sum X + Y when X is a continuous variable and Y is an independent variable with variance small compared to that of X . The approximations are based around the distribution function or quantiles of X and require only the first two or three moments of Y to be known. Example evaluations with X having a normal, Student’s t or chi-squared distribution suggest that the approximations are good in unbounded tail regions when the ratio of variances is less than 0.2. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13691473
- Volume :
- 44
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Australian & New Zealand Journal of Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 6477072
- Full Text :
- https://doi.org/10.1111/1467-842X.00223