Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods

DOI10.1016/j.csda.2009.11.025zbMath1465.62010OpenAlexW1972655542MaRDI QIDQ962330

Pierre Duchesne, Pierre Lafaye de Micheaux

Publication date: 6 April 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.2009.11.025

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Uses Software

• AS 256
• AS 155
• AS 204
• AS 106

Cites Work

• Unnamed Item
• A new chi-square approximation to the distribution of non-negative definite quadratic forms in non-central normal variables
• Improved Peňa-Rodriguez portmanteau test
• Unified large-sample theory of general chi-squared statistics for tests of fit
• A comparison of chi-square goodness-of-fit tests based on approximate Bahadur slope
• Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
• Diagnostic testing of univariate time series models
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
• Computing the distribution of quadratic forms in normal variables
• Series Representations of Distributions of Quadratic Forms in Normal Variables. I. Central Case
• Numerical inversion of a characteristic function
• Probability Content of Regions Under Spherical Normal Distributions, IV: The Distribution of Homogeneous and Non-Homogeneous Quadratic Functions of Normal Variables
• Diagnostic Checking in ARMA Models With Uncorrelated Errors

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