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Computing the distribution function of the ratio of quadratic forms in normal variables

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Abstract

Formulas are given for computing the ratio of quadratic forms in normal variables. The doubly noncentral F-distribution function is computed.

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Literature cited

  1. J. P. Imhof, “Computing the distribution of quadratic forms in normal variables,” Biometrika,48 (1961).

  2. G. Laue, “Existence and representation of density functions,” Math. Nachr.,114 (1983).

  3. M. L. Tiku, “Doubly noncentral F-distribution — tables and application,” in: H. L. Harter and D. B. Owen (eds.), Selected Tables in Mathematical Statistics, Vol. II, Providence, RI (1974).

  4. J. Gurland, “Distribution of quadratic forms and ratios of quadratic forms,” Ann. Math. Stat.,24 (1953).

  5. G. V. Martynov, Omega-Square Test [in Russian], Moscow (1978).

  6. G. V. Martynov, “Computing distribution functions of quadratic forms in normal variables,” Teor. Veroyatn. Primen.,20, No. 4 (1975).

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Translated from Statisticheskie Metody Otsenivaniya i Proverki Gipotez, pp. 123–128, 1986.

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Dugina, T.N., Martynov, G.V. Computing the distribution function of the ratio of quadratic forms in normal variables. J Math Sci 53, 628–631 (1991). https://doi.org/10.1007/BF01095373

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  • DOI: https://doi.org/10.1007/BF01095373

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