Evaluating the density of ratios of noncentral quadratic forms in normal variables

DOI10.1016/J.CSDA.2008.10.035MaRDI QIDQ961269zbMATH OpenOpenAlexFDO

Authors Marc S. Paolella, Simon A. Broda

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.10.035

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multivariate distribution of statistics (62H10) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• Distribution of the Ratio of Quadratic Forms in Normal Variables—Numerical Methods
• The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables
• The exact distribution function of the ratio of two quadratic forms in noncentral normal variables
• scientific article; zbMATH DE number 408627
• Computing moments of ratios of quadratic forms in normal variables

Cites work

• scientific article; zbMATH DE number 3357848 (Why is no real title available?)
• scientific article; zbMATH DE number 3362812 (Why is no real title available?)
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• Bias-adjusted estimation in the ARX(1) model
• Computing moments of ratios of quadratic forms in normal variables
• Computing the distribution of quadratic forms in normal variables
• Distribution of Quadratic Forms and Some Applications
• Extension of a Theorem by Harald Cramer on the Frequency Distribution of the Quotient of Two Variables
• Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
• The numerical evaluation of the probability density function of a quadratic form in normal variables
• Uniform saddlepoint approximations for ratios of quadratic forms

Cited in

(3)

• Distribution of the Ratio of Quadratic Forms in Normal Variables—Numerical Methods
• Density of the Ratio of Two Normal Random Variables and Applications
• The Mellin Transform to Manage Quadratic Forms in Normal Random Variables

Describes a project that uses

Uses Software

• AS 153

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