Computing moments of ratios of quadratic forms in normal variables
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Publication:951871
DOI10.1016/S0167-9473(02)00213-XzbMATH Open1429.62030MaRDI QIDQ951871FDOQ951871
Authors: Marc S. Paolella 
Publication date: 4 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Recommendations
Computational methods for problems pertaining to statistics (62-08) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
- On the expectation of a ratio of quadratic forms in normal variables
- Moments of the ratio of two dependent quadratic forms
- Title not available (Why is that?)
- EXPECTATIONS OF RATIOS OF QUADRATIC FORMS IN NORMAL VARIABLES: EVALUATING SOME TOP‐ORDER INVARIANT POLYNOMIALS
- Finite-Sample Properties of the k-Class Estimators
- Computing the distribution of quadratic forms in normal variables
- Saddlepoint Approximations in Statistics
- Saddle point approximation for the distribution of the sum of independent random variables
- The exact moments of the least squares estimator for the autoregressive model
- Title not available (Why is that?)
- Some robust exact results on sample autocorrelations and tests of randomness
- Title not available (Why is that?)
- Covariances between estimated autocorrelations of an ARMA process
- A Laplace approximation to the moments of a ratio of quadratic forms
- Title not available (Why is that?)
- Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
- Moments of the ratio of quadratic forms in non-normal variables with econometric examples
- Rank correlation and product-moment correlation
- Evaluation of moments of quadratic forms and ratios of quadratic forms in normal variables: Background, motivation and examples
- Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
- The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
- EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
- Approximate distributions for the various serial correlograms
- The exact distribution of indefinite quadratic forms in noncentral normal vectors
- Bartlett's formulae -- closed forms and recurrent equations
- Moments of the function of non-normal random vector with applications to econometric estimators and test statistics1
- Testing for serial correlation with exponentially distributed variates
Cited In (11)
- Second special issue on computational econometrics
- Evaluating the density of ratios of noncentral quadratic forms in normal variables
- Bias-adjusted estimation in the ARX(1) model
- THE EXACT CUMULATIVE DISTRIBUTION FUNCTION OF A RATIO OF QUADRATIC FORMS IN NORMAL VARIABLES, WITH APPLICATION TO THE AR(1) MODEL
- Title not available (Why is that?)
- Identities for negative moments of quadratic forms in normal variables
- Efficient improved estimation of the parameters in two seemingly unrelated regression models
- Moments of the ratio of quadratic forms in non-normal variables with econometric examples
- An approximation to the distribution of the ratio of two general quadratic forms with application
- A new exponential GOF test for data subject to multiply type II censoring
- EXPRESSIONS FOR INVERSE MOMENTS OF POSITIVE QUADRATIC FORMS IN NORMAL VARIABLES
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