Work

The Exact Moments of a Ratio of Quadratic Forms in Normal Variables

Year: 1986

Type: article

Abstract: The exact moments of x'Ax/x'Bx are obtained, where x is a normally distributed vector with some mean (possibly nonzero) and positive definite covariance matrix, A is symmetric and B positive semi definite. These moments appear as simple integrals which can be evaluated numerically in a straightforward manner. In addition, the precise conditions for the existence of the moments are found. Some related results are also reported.

Source: Annales d Économie et de Statistique

DOI: 10.2307/20075629

Author: Magnus

Language: French

Topic: Statistical Distribution Estimation and Applications

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W3142072980

FWCI: 1.898

Cites:

Cited by: 101

Related to: 10