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.
Year of publication: |
1986
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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
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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