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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Uniform saddlepoint approximations for ratios of quadratic forms |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Bernoulli |
Publisher | Bernoulli Society for Mathematical Statistics and Probability |
Geographical Reach | international |
ISSN | 1350-7265 |
Volume | 14 |
Number | 1 |
Page Range | 140 - 154 |
Date | 2008 |
Abstract Text | Ratios of quadratic forms in correlated normal variables which introduce noncentrality into the quadratic forms are considered. The denominator is assumed to be positive (with probability 1). Various serial correlation estimates such as least-squares, Yule–Walker and Burg, as well as Durbin–Watson statistics, provide important examples of such ratios. The cumulative distribution function (c.d.f.) and density for such ratios admit saddlepoint approximations. These approximations are shown to preserve uniformity of relative error over the entire range of support. Furthermore, explicit values for the limiting relative errors at the extreme edges of support are derived. |
Digital Object Identifier | 10.3150/07-BEJ6169 |
Other Identification Number | merlin-id:581 |
PDF File | Download from ZORA |
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