Publication: Computing moments of ratios of quadratic forms in normal variables
Computing moments of ratios of quadratic forms in normal variables
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Paolella, M. S. (2003). Computing moments of ratios of quadratic forms in normal variables. Computational Statistics & Data Analysis, 42, 313–331. https://doi.org/10.1016/S0167-9473(02)00213-X
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The accuracy and speed of numerical methods for computing the moments of a ratio of quadratic forms in normal variables is examined, with particular application to the sample autocorrelation function. Methods based on a saddlepoint approximation are demonstrated to be not only superior to existing approximations, but are numerically reliable and virtually as accurate as the method suitable for exact computations, while taking only a fraction of the time to compute. The new method also maintains its accuracy for time series models near
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Paolella, M. S. (2003). Computing moments of ratios of quadratic forms in normal variables. Computational Statistics & Data Analysis, 42, 313–331. https://doi.org/10.1016/S0167-9473(02)00213-X