Saddle Point Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables

In the present paper, the saddle point approximations to the density and tail probability of a ratio of quadratic forms in normal variables are derived. A numerical exposition via the Durbin-Watson test statistic reveals several desirable features. Beyond their accuracy and robustness to extreme scenarios, the approximations, which only involve a limited number of computable functions, provide the practitioner with an accessible and a very powerful tool.


Issue Date:
Jul 01 1992
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
22
Series Statement:
Working Paper No. 9/92




 Record created 2018-01-30, last modified 2018-01-31

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