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Statistics and Computing

, Volume 2, Issue 4, pp 179–182 | Cite as

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

  • B. B. Van der Genugten
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  • 86 Downloads

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.

Keywords

Ratio of quotient of quadratic forms in normal variables F-test,F-statistic numerical evaluation of probability densities 

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References

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Copyright information

© Chapman & Hall 1992

Authors and Affiliations

  • B. B. Van der Genugten
    • 1
  1. 1.Department of EconometricsTilburg UniversityTilburgThe Netherlands

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