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Saddle Point Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables

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  • Lieberman, Offer

Abstract

In the present paper, the saddle point approximations to the density and tail probability of a ratio of quadratic forms in normal variables are derived. A numerical exposition via the Durbin-Watson test statistic reveals several desirable features. Beyond their accuracy and robustness to extreme scenarios, the approximations, which only involve a limited number of computable functions, provide the practitioner with an accessible and a very powerful tool.

Suggested Citation

  • Lieberman, Offer, "undated". "Saddle Point Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables," Department of Econometrics and Business Statistics Working Papers 267395, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:267395
    DOI: 10.22004/ag.econ.267395
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