Abstract
In this article, the saddlepoint 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. The approximations, which involve only a limited number of computable functions, provide the practitioner with an accessible and a very powerful tool.
| Original language | English |
|---|---|
| Pages (from-to) | 924-928 |
| Number of pages | 5 |
| Journal | Journal of the American Statistical Association |
| Volume | 89 |
| Issue number | 427 |
| DOIs | |
| State | Published - Sep 1994 |
| Externally published | Yes |
Keywords
- Cgf
- Fourier transform
- Geary’s formula
- Steepest descent