The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables
AbstractAn expression for the exact cumulative distribution function of a ratio of quadratic forms in noncentral normal variable is derived in terms of infinite series of top order invariant polynomials.
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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 01/12.
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Ratio of quadratic forms; quadratic forms in normal variables.;
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Cowles Foundation Discussion Papers
722, Cowles Foundation for Research in Economics, Yale University.
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Cambridge University Press, vol. 18(04), pages 823-852, August.
- Giovanni Forchini, . "The Exact Cumulative Distribution Function of a Ratio of Quadratic Forms in Normal Variables with Application to the AR(1) Model," Discussion Papers 01/02, Department of Economics, University of York.
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