Bao, Yong; Kan, Raymond - In: Journal of Multivariate Analysis 117 (2013) C, pp. 229-245
In this paper, we present both integral and infinite series expressions of μqp≡E[(x′Ax)p/(x′Bx)q] when x∼N(μ,In), where p, q are nonnegative real numbers, A is a symmetric matrix, and B is a positive semi-definite matrix. We also present efficient numerical methods for computing μqp...