Name
Title | ||
|---|---|---|
A new chi-square approximation to the distribution of non-negative definite quadratic forms in non-central normal variables |
Abstract | ||
|---|---|---|
This note proposes a new chi-square approximation to the distribution of non-negative definite quadratic forms in non-central normal variables. The unknown parameters are determined by the first four cumulants of the quadratic forms. The proposed method is compared with Pearson’s three-moment central χ2 approximation approach, by means of numerical examples. Our method yields a better approximation to the distribution of the non-central quadratic forms than Pearson’s method, particularly in the upper tail of the quadratic form, the tail most often needed in practical work. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1016/j.csda.2008.11.025 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
quadratic form,cumulant | Isotropic quadratic form,Binary quadratic form,Mathematical analysis,Quadratic form,Quadratic function,Quadratic residuosity problem,Quadratic programming,Definite quadratic form,Mathematics,Quadratic field | Journal |
Volume | Issue | ISSN |
53 | 4 | 0167-9473 |
Citations | PageRank | References |
9 | 2.28 | 1 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Huan Liu | 1 | 9 | 2.28 |
| Yongqiang Tang | 2 | 16 | 3.38 |
| Hao Helen Zhang | 3 | 119 | 12.94 |