Evaluating the density of ratios of noncentral quadratic forms in normal variables

DOI10.1016/j.csda.2008.10.035zbMath1452.62037OpenAlexW1972360240MaRDI QIDQ961269

Marc S. Paolella, Simon A. Broda

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.10.035

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Computational methods for problems pertaining to statistics (62-08) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

The Mellin Transform to Manage Quadratic Forms in Normal Random Variables

Uses Software

• AS 153

Cites Work

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• Computing moments of ratios of quadratic forms in normal variables
• Uniform saddlepoint approximations for ratios of quadratic forms
• The numerical evaluation of the probability density function of a quadratic form in normal variables
• Bias-adjusted estimation in the ARX(1) model
• Distribution of Quadratic Forms and Some Applications
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
• Computing the distribution of quadratic forms in normal variables
• Extension of a Theorem by Harald Cramer on the Frequency Distribution of the Quotient of Two Variables

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