In Example 12.3.7, we simulated the values by first simulating gamma random variables with parameters (n

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In Example 12.3.7, we simulated the τ values by first simulating gamma random variables with parameters (n − p)/2 and 1. Suppose that our statistical software allows us to simulate χ2 random variables instead. Which χ2 distribution should we use and how would we convert the simulated χ2’s to have the appropriate gamma distribution?
Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
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Probability And Statistics

ISBN: 9780321500465

4th Edition

Authors: Morris H. DeGroot, Mark J. Schervish

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