Uniform saddlepoint approximations for ratios of quadratic forms

DOI10.3150/07-BEJ6169zbMATH Open1155.62009arXiv0803.2132OpenAlexW1974936678MaRDI QIDQ1002579FDOQ1002579

Authors: R. W. Butler, Marc S. Paolella 

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

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.

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

Recommendations

• Saddle-point theorems for rational approximation
• Uniform saddlepoint approximations
• The rate of convergence for quadratic forms
• Approximating the distribution of singular quadratic expressions and their ratios
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
• Approximate quadratic forms on restricted domains
• Optimal strong approximation for quadratic forms

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)

Cites Work

• Title not available (Why is that?)
• Saddlepoint Approximations with Applications
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximations
• On eigenvalues of matrices dependent on a parameter
• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
• Saddlepoint approximation for the least squares estimator in first-order autoregression
• Uniform saddlepoint approximations for ratios of quadratic forms
• Uniform saddlepoint approximations
• Approximate distributions for the various serial correlograms
• An approximate test for serial correlation in polynomial regression
• The approximate distribution of partial serial correlation coefficients calculated from residuals from regression on Fourier series
• Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios

Cited In (8)

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

This page was built for publication: Uniform saddlepoint approximations for ratios of quadratic forms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002579)