The numerical inversion of the characteristic equation with applications to positive quadratic forms in normal variables

DOI10.1080/03610919808813476MaRDI QIDQ4386442zbMATH OpenOpenAlexFDO

Authors

Publication date 27 October 1998

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919808813476

zbMATH Keywords

benchmark comparisonnumerical inversion of Laplace transformquadratic formsstatistical process control

Mathematics Subject Classification ID

Laplace transform (44A10) Applications of statistics in engineering and industry; control charts (62P30) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for integral transforms (65R10)

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Cites work

• Algorithm 682: Talbot's method of the Laplace inversion problems
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing the distribution of quadratic forms in normal variables
• Distribution of Quadratic Forms and Ratios of Quadratic Forms
• Distribution of Quadratic Forms in Normal Random Variables—Evaluation by Numerical Integration
• Estimation of the Mean and Standard Deviation by Order Statistics
• Evaluation of the Noncentral F-Distribution by Numerical Contour Integration
• scientific article; zbMATH DE number 54139 (Why is no real title available?)
• scientific article; zbMATH DE number 3620755 (Why is no real title available?)
• scientific article; zbMATH DE number 3222329 (Why is no real title available?)
• New Estimators of Disturbances in Regression Analysis
• Noncentral and central chi-square, f and beta distribution functions as special cases of the distribution function of an indefinite quadratic form
• Numerical inversion of a characteristic function
• Series Representations of Distributions of Quadratic Forms in Normal Variables. I. Central Case
• Synthesis of variance
• The Accurate Numerical Inversion of Laplace Transforms

Cited in

(2)

• The numerical evaluation of the probability density function of a quadratic form in normal variables
• Numerical inversion of a characteristic function

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