Uniform saddlepoint approximations for ratios of quadratic forms

DOI10.3150/07-BEJ6169MaRDI QIDQ1002579zbMATH OpenOpenAlexFDO

Authors R. W. Butler, Marc S. Paolella

Publication date 2 March 2009

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.2132

zbMATH Keywords

ratios of quadratic formsserial correlationssaddlepoint approximations

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Eigenvalues, singular values, and eigenvectors (15A18) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: Ratios of quadratic forms in correlated normal variables which introduce noncentrality into the quadratic forms are considered. The denominator is assumed to be positive (with probability 1). Various serial correlation estimates such as least-squares, Yule--Walker and Burg, as well as Durbin--Watson statistics, provide important examples of such ratios. The cumulative distribution function (c.d.f.) and density for such ratios admit saddlepoint approximations. These approximations are shown to preserve uniformity of relative error over the entire range of support. Furthermore, explicit values for the limiting relative errors at the extreme edges of support are derived.

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Cited in

(8)

• THE EXACT CUMULATIVE DISTRIBUTION FUNCTION OF A RATIO OF QUADRATIC FORMS IN NORMAL VARIABLES, WITH APPLICATION TO THE AR(1) MODEL
• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• Saddlepoint approximations for the estimator on a lagged dependent variable
• Uniform saddlepoint approximations for ratios of quadratic forms
• Asymptotic approximations for some distributions of ratios
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
• Evaluating the density of ratios of noncentral quadratic forms in normal variables
• Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference

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