A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications
share
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.
READ FULL TEXT
