On the moments of ratios of quadratic forms in normal random variables

In this paper, we present both integral and infinite series expressions of μqp≡E[(x′Ax)p/(x′Bx)q] when x∼N(μ,In), where p, q are nonnegative real numbers, A is a symmetric matrix, and B is a positive semi-definite matrix. We also present efficient numerical methods for computing μqp under each approach.

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Year of publication:	2013
Authors:	Bao, Yong ; Kan, Raymond
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 117.2013, C, p. 229-245
Publisher:	Elsevier
Subject:	Moments \| Ratios of quadratic forms \| Multivariate normal distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041907