Computing the distribution of quadratic forms: Further comparisons between the Liu–Tang–Zhang approximation and exact methods

Author:

Duchesne Pierre,Lafaye De Micheaux Pierre

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference17 articles.

1. Numerical inversion of a characteristic function;Davies;Biometrika,1973

2. Algorithm AS 155: The distribution of a linear combination of χ2 random variables;Davies;Journal of the Royal Statistical Society, Series C (Applied Statistics),1980

3. On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and {2}-inverses;Duchesne;COMPSTAT 2008, Proceedings in Computational Statistics,2008

4. Algorithm AS 204: The distribution of a positive linear combination of χ2 random variables;Farebrother;Journal of the Royal Statistical Society, Series C (Applied Statistics),1984

5. Algorithm AS 256: The distribution of a quadratic form in normal variables;Farebrother;Journal of the Royal Statistical Society, Series C (Applied Statistics),1990

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