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Activity Number: 242
Type: Contributed
Date/Time: Tuesday, August 8, 2006 : 8:30 AM to 10:20 AM
Sponsor: Section on Physical and Engineering Sciences
Abstract - #305823
Title: Improved Tolerance Factors for Multivariate Normal
Author(s): Sumona Mondal*+ and Kalimuthu Krishnamoorthy
Companies: University of Louisiana at Lafayette and University of Louisiana at Lafayette
Address: 327 General Mouton Ave., Lafayette, LA, 70501,
Keywords: confidence ; content ; coverage probability ; noncentral chi-square approx ; Wishart distribution
Abstract:

In this article, an improved method of computing tolerance factors for a multivariate normal distribution is proposed. The method involves an approximation and simulation, and is more accurate than the several approximate methods considered in Krishnamoorthy and Mathew (1999,Technometrics, 41, 234-249). The accuracies of the tolerance regions are evaluated using Monte Carlo simulation. Simulation study shows that the new approach is very satisfactory even for small samples. Tolerance factors based on the proposed approach are tabulated for the dimension of the normal distribution p = 2(1)10, and various sample sizes ranging from 2p + 1 to 1000.

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