The probability content of cones in isotropic random fields

DOI10.1006/JMVA.1998.1750MaRDI QIDQ1268019zbMATH OpenOpenAlexFDO

Authors Serge B. Provost, Young-Ho Cheong

Publication date 9 November 1999

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1998.1750

zbMATH Keywords

coneselliptically contoured distributionsmomentsquadratic formsrandom fieldsserial covariancespherically symmetric distributions

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Characterization and structure theory of statistical distributions (62E10) Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

Quadratic forms \(X'AX\), where \(X\) is a central elliptically contoured random vector and \(A\) is a symmetric matrix, are considered. Computable representations for the evaluation of the probability content of cones in isotropic random fields are given. A decomposition of quadratic forms in spherically symmetric random vectors is obtained and a simple representation of their moments is derived. These results allowed to obtain the distribution of quadratic forms in spherically symmetric or central elliptically contoured random vectors. Ratios of quadratic forms are also discussed.

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Cited in

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