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Computing moments of ratios of quadratic forms in normal variables

  • Paolella, Marc S.
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-472JRC1-1R/2/9cdebc35227b2b30c225c1be845dee0e
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 42 (2003)
    Issue (Month): 3 (March)
    Pages: 313-331

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    Handle: RePEc:eee:csdana:v:42:y:2003:i:3:p:313-331
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Ullah, Aman & Srivastava, Virendra K., 1994. "Moments of the ratio of quadratic forms in non-normal variables with econometric examples," Journal of Econometrics, Elsevier, vol. 62(2), pages 129-141, June.
    2. Sawa, Takamitsu, 1972. "Finite-Sample Properties of the k-Class Estimators," Econometrica, Econometric Society, vol. 40(4), pages 653-80, July.
    3. Roberts, Leigh A., 1995. "On the Existence of Moments of Ratios of Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 11(04), pages 750-774, August.
    4. Georgi Boshnakov, 1996. "Bartlett's formulae—Closed forms and recurrent equations," Annals of the Institute of Statistical Mathematics, Springer, vol. 48(1), pages 49-59, March.
    5. Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
    6. Serge Provost & Edmund Rudiuk, 1996. "The exact distribution of indefinite quadratic forms in noncentral normal vectors," Annals of the Institute of Statistical Mathematics, Springer, vol. 48(2), pages 381-394, June.
    7. Mehta, Jatinder S. & Swamy, Paravastu A. V. B., 1978. "The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model," Journal of Econometrics, Elsevier, vol. 7(1), pages 1-13, February.
    8. Kanto, Antti J., 1988. "Covariances between estimated autocorrelations of an ARMA process," Economics Letters, Elsevier, vol. 26(3), pages 253-258.
    9. Magnus, J.R., 1986. "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM c6725407-ac3c-44fd-b6d1-5, Tilburg University, School of Economics and Management.
    10. Dufour, Jean-Marie & Roy, Roch, 1985. "Some robust exact results on sample autocorrelations and tests of randomness," Journal of Econometrics, Elsevier, vol. 29(3), pages 257-273, September.
    11. repec:ner:tilbur:urn:nbn:nl:ui:12-153231 is not listed on IDEAS
    12. Ghazal, G. A., 1994. "Moments of the ratio of two dependent quadratic forms," Statistics & Probability Letters, Elsevier, vol. 20(4), pages 313-319, July.
    13. repec:ner:tilbur:urn:nbn:nl:ui:12-153219 is not listed on IDEAS
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