IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES

DOI10.1081/ETC-120014346zbMath1034.60010OpenAlexW2088524138MaRDI QIDQ4443969

Zeng-Hua Lu, Maxwell L. King

Publication date: 2002

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-120014346

zbMATH Keywords

Newton's methodcharacteristic functiontruncation errorquadratic form in normal variablessecand method

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (10)

Averaged shifted chi-square test ⋮ On the distribution of the sample autocorrelation coefficients ⋮ REFINED TESTS FOR SPATIAL CORRELATION ⋮ A Wald-type test of quadratic parametric restrictions ⋮ Spatial autoregressions with an extended parameter space and similarity-based weights ⋮ Most mean powerful test of a composite null against a composite alternative ⋮ On some tests of the covariance matrix under general conditions ⋮ The numerical evaluation of the probability density function of a quadratic form in normal variables ⋮ Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

Cites Work

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• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing the distribution of quadratic forms in normal variables
• Numerical inversion of a characteristic function
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Note on the inversion theorem

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