Package 'compquadform' Title Distribution Function of Quadratic Forms in Normal Variables
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Description Computes the distribution function of quadratic forms in normal variables using Imhof's method, Davies's algorithm,Farebrother's algorithm or Liu et al.'s algorithm.
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Package ‘ CompQuadForm ’
Description Computes the distribution function of quadratic forms in normal variables using Imhof's method, Davies's algorithm,Farebrother's algorithm or Liu et al.'s algorithm.
متن کاملTitle Distribution Function of Quadratic Forms in Normal Variables
June 22, 2010 Type Package Title Distribution function of quadratic forms in normal variables Version 1.0 Date 2010-06-20 Author P. Lafaye de Micheaux Maintainer P. Lafaye de Micheaux Description Computes the distribution function of quadratic forms in normal variables using Imhof’s method, Davies’s algorithm, Farebrother’s algorithm or Liu et al.’s algorithm. License ...
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Noncentral indefinite quadratic expressions in possibly non- singular normal vectors are represented in terms of the difference of two positive definite quadratic forms and an independently distributed linear combination of standard normal random variables. This result also ap- plies to quadratic forms in singular normal vectors for which no general representation is currently available. The ...
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In this paper, we obtain the upper exponential bounds for the tail probabilities of the quadratic forms for negatively dependent subgaussian random variables. In particular the law of iterated logarithm for quadratic forms of independent subgaussian random variables is generalized to the case of negatively dependent subgaussian random variables.
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Higher order asymptotic expansions for the distribution of quadratic forms in normal variables are obtained. The Cornish-Fisher inverse expansions for the percentiles of the distribution are also given. The tesulting formula for a definite quadratic form guarantees accuracy almost up to fourth decimal place if the distribution is not very skew. The normalizing transformation investigated by Jen...
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