The Exact Moments of a Ratio of Quadratic Forms in Normal Variables

The exact moments of x'Ax/x'Bx are obtained, where x is a normally distributed vector with some mean (possibly nonzero) and positive definite covariance matrix, A is symmetric and B positive semi definite. These moments appear as simple integrals which can be evaluated numerically in a straightforward manner. In addition, the precise conditions for the existence of the moments are found. Some related results are also reported.

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Year of publication:	1986
Authors:	MAGNUS, Jan R.
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1986, 4, p. 95-109
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005078833