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Density of the quotient of non-negative quadratic forms in normal variables with application to the F-statistic

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Abstract

The density of the quotient of two non-negative quadratic forms in normal variables is considered. The covariance matrix of these variables is arbitrary. The result is useful in the study of the robustness of theF-test with respect to errors of the first and second kind. An explicit expression for this density is given in the form of a proper Riemann-integral on a finite interval, suitable for numerical calculation.

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Van der Genugten, B.B. Density of the quotient of non-negative quadratic forms in normal variables with application to the F-statistic. Stat Comput 2, 179–182 (1992). https://doi.org/10.1007/BF01889677

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  • DOI: https://doi.org/10.1007/BF01889677

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