Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables

DOI10.2307/2347778zbMath0715.62096OpenAlexW13993367MaRDI QIDQ3201351

Richard William Farebrother

Publication date: 1990

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347778

zbMATH Keywords

complex arithmeticquadratic form in normal variablesalgorithm AS 256Imhof's procedureISO PascalKoerts and Abrahamse's algorithmlinear combination of chi-square variables

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Software, source code, etc. for problems pertaining to statistics (62-04) Numerical solutions to stochastic differential and integral equations (65C30)

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The locally unbiased two-sided Durbin-Watson test ⋮ Connectivity Inference between Neural Structures via Partial Directed Coherence ⋮ Approximate inference in heteroskedastic regressions: A numerical evaluation ⋮ Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators ⋮ Computing moments of ratios of quadratic forms in normal variables ⋮ Underidentification? ⋮ Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics ⋮ Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods ⋮ Asymptotic properties of the spectral test, diaphony, and related quantities ⋮ AS 256 ⋮ Time series clustering and classification by the autoregressive metric ⋮ The econometrics of mean‐variance efficiency tests: a survey

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