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.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom|
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/economics/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Chikuse, Yasuko, 1987. "Methods for Constructing Top Order Invariant Polynomials," Econometric Theory, Cambridge University Press, vol. 3(02), pages 195-207, April.
- Marsh, Patrick W.N., 1998. "Saddlepoint Approximations For Noncentral Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 14(05), pages 539-559, October.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:yor:yorken:01/12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paul Hodgson)
If references are entirely missing, you can add them using this form.