The numerical evaluation of the probability density function of a quadratic form in normal variables

DOI10.1016/j.csda.2005.12.013zbMath1157.62410OpenAlexW1982782680MaRDI QIDQ1010546

Zeng-Hua Lu

Publication date: 6 April 2009

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

Full work available at URL: https://doi.org/10.1016/j.csda.2005.12.013

zbMATH Keywords

convolutioncharacteristic functiontruncation errorKullback-Leibler information measurechi-square variables

Mathematics Subject Classification ID

Related Items (4)

On the Distribution of Linear Combinations of Chi-Square Random Variables ⋮ Evaluating the density of ratios of noncentral quadratic forms in normal variables ⋮ Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options ⋮ Asymptotic Expansions of the Null Distributions of Discrepancy Functions for General Covariance Structures Under Nonnormality

Uses Software

• AS 155

Cites Work

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• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
• Computing the distribution of quadratic forms in normal variables
• Numerical inversion of a characteristic function
• Note on the inversion theorem

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