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Moments of the ratio of two dependent quadratic forms


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  • Ghazal, G. A.
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    Exact moments of the ratio of two dependent quadratic forms are derived in the case when the variables involved are multivariate normal, and the quadratic form in the denominator is idempotent. Application of the method to the Durbin--Watson statistic is given.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 20 (1994)
    Issue (Month): 4 (July)
    Pages: 313-319

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    Handle: RePEc:eee:stapro:v:20:y:1994:i:4:p:313-319

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    Keywords: Ratio of quadratic forms Durbin--Watson statistic;


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    Cited by:
    1. Piotr Fryzlewicz & Guy P. Nason, 2006. "Haar-Fisz estimation of evolutionary wavelet spectra," LSE Research Online Documents on Economics 25227, London School of Economics and Political Science, LSE Library.
    2. Paolella, Marc S., 2003. "Computing moments of ratios of quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 313-331, March.
    3. Grant Hillier & Raymond Kan & Xiaolu Wang, 2008. "Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors," CeMMAP working papers CWP14/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Ghazal, G. A., 1996. "Recurrence formula for expectations of products of quadratic forms," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 101-109, April.


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