Distribution of Quadratic Forms in Normal Random Variables—Evaluation by Numerical Integration

DOI10.1137/0901032zbMath0484.65085OpenAlexW2051338647MaRDI QIDQ3943968

Stephen Rice

Publication date: 1980

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0901032

zbMATH Keywords

quadratic formdistribution functionnumerical integration methodsinverting the characteristic function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Probabilistic methods, stochastic differential equations (65C99) Statistical distribution theory (62E99)

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