Comparing approximations to the expectation of a ratio of quadratic forms in normal variables

DOI10.1080/07474939608800340zbMATH Open0914.62011OpenAlexW2038036480MaRDI QIDQ4883728FDOQ4883728

Authors: Murray D. Smith 

Publication date: 14 June 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800340

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zbMATH Keywords

Laplace approximationconfluent hypergeometric functionratio of quadratic formssmall-sigma approximationNagar approximation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

Cites Work

• Title not available (Why is that?)
• On the expectation of a ratio of quadratic forms in normal variables
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• EXPECTATIONS OF RATIOS OF QUADRATIC FORMS IN NORMAL VARIABLES: EVALUATING SOME TOP‐ORDER INVARIANT POLYNOMIALS
• Title not available (Why is that?)
• Bias assessment and reduction in linear error-correction models
• A Laplace approximation to the moments of a ratio of quadratic forms
• Comparison of k-Class Estimators When the Disturbances Are Small
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• Mean and variance of \(R^ 2\) in small and moderate samples

Cited In (5)

• Coefficient of determination for multiple measurement error models
• Sharp Variance-Entropy Comparison for Nonnegative Gaussian Quadratic Forms
• Goodness of fit for generalized shrinkage estimation
• On the expectation of a ratio of quadratic forms in normal variables
• Goodness of fit in restricted measurement error models

Uses Software

• Mathematica

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