Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 53, Issue 4, Pages 853-856Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.csda.2008.11.025
Keywords
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Funding
- Direct For Mathematical & Physical Scien
- Division Of Mathematical Sciences [1347844] Funding Source: National Science Foundation
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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 chi(2) 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. (C) 2008 Elsevier B.V. All rights reserved.
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