An accurate approximation to the distribution of a linear combination of non-central chi-square random variables

zbMATH Open1314.62059MaRDI QIDQ5255145FDOQ5255145

Publication date: 12 June 2015

Full work available at URL: https://www.ine.pt/revstat/pdf/rs130301.pdf

Recommendations

moments quadratic forms cumulants linear combinations Durbin-Watson statistic density approximation chi-square random variables

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (21)

Accuracy of Kendall's chi-square approximation to circular triad distributions
The non-null limiting distribution of the generalized Baumgartner statistic based on the Fourier series approximation
An F Approximation to the Distribution of a Linear Combination of Chi-squared Variables.
Modified normal-based approximation to the percentiles of linear combination of independent random variables with applications
Numerical evaluation of methods approximating the distribution of a large quadratic form in normal variables
Testing conditional heteroscedasticity with systematic sampling of time series
Approximations for central and noncentral bivariate chi-square distributions
A comparison of efficient approximations for a weighted sum of chi-squared random variables
On the efficient calculation of a linear combination of chi-square random variables with an application in counting string vacua
Approximate and Asymptotic Distributions of Chi-Squared–Type Mixtures With Applications
On Approximating the Distribution of the Durbin-Watson Statistic from its Moments Obtained Recursively
On the Distribution of Linear Combinations of Chi-Square Random Variables
On estimating approximate degrees of freedom of chi-squared approximations
The exact distribution of the ratio of a linear combination of chi-square variables over the root of a product of chi-square variables
Approximated distributions of the weighted sum of correlated chi-squared random variables
Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach
The use of aggregate time series for testing conditional heteroscedasticity
The distribution function of a linear combination of chi-squares
Expressions for the distribution and percentiles of the sums and products of chi-squares
The bootstrap for testing the equality of two multivariate time series with an application to financial markets
On approximating the distribution of indefinite quadratic forms

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