The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables
An 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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- Hillier, G.H., 1999. "The density of a quadratic form in a vector uniformly distributed on the n-sphere," Discussion Paper Series In Economics And Econometrics 9902, Economics Division, School of Social Sciences, University of Southampton.
- Chikuse, Yasuko, 1987. "Methods for Constructing Top Order Invariant Polynomials," Econometric Theory, Cambridge University Press, vol. 3(02), pages 195-207, April.
- Hillier, Grant, 2001. "THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE," Econometric Theory, Cambridge University Press, vol. 17(01), pages 1-28, February.
- Marsh, Patrick W.N., 1998. "Saddlepoint Approximations For Noncentral Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 14(05), pages 539-559, October.
- Peter C.B. Phillips, 1984.
"The Exact Distribution of the Wald Statistic,"
Cowles Foundation Discussion Papers
722, Cowles Foundation for Research in Economics, Yale University.
- Giovanni Forchini, .
"The Exact Cumulative Distribution Function of a Ratio of Quadratic Forms in Normal Variables with Application to the AR(1) Model,"
01/02, Department of Economics, University of York.
- Forchini, G., 2002. "The Exact Cumulative Distribution Function Of A Ratio Of Quadratic Forms In Normal Variables, With Application To The Ar(1) Model," Econometric Theory, Cambridge University Press, vol. 18(04), pages 823-852, August.
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