Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-16961
Broda, Simon; Paolella, Marc S (2009). Evaluating the density of ratios of noncentral quadratic forms in normal variables. Computational Statistics and Data Analysis, 53(4):1264-1270.
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Two computable expressions for the exact density of a ratio of quadratic forms in Gaussian random vectors are derived, one of which is restricted to special cases of the problem. Ratios of this type are ubiquitous in econometrics, but their density, unlike the corresponding cumulative distribution function, has not received much attention to date. The new algorithms complement those available for the latter. The included performance study demonstrates the accuracy of the two algorithms, both absolute and relative to each other, and allows general recommendations on their use to be made.
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|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||03 Faculty of Economics > Department of Banking and Finance|
|Date:||15 February 2009|
|Deposited On:||16 Mar 2009 14:28|
|Last Modified:||27 Nov 2013 16:21|
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