On the Laplace transform of some quadratic forms and the exact distribution of the sample variance from a gamma or uniform parent distribution

arXiv0710.5749MaRDI QIDQ6207325FDOQ6207325

Publication date: 30 October 2007

Abstract: From a suitable integral representation of the Laplace transform of a positive semi-definite quadratic form of independent real random variables with not necessarily identical densities a univariate integral representation is derived for the cumulative distribution function of the sample variance of i.i.d. random variables with a gamma density, supplementing former formulas of the author. Furthermore, from the above Laplace transform Fourier series are obtained for the density and the distribution function of the sample variance of i.i.d. random variables with a uniform distribution. This distribution can be applied e.g. to a statistical test for a scale parameter.

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10)

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