Evaluating the density of ratios of noncentral quadratic forms in normal variables

Simon Broda and M.S. Paolella

Computational Statistics & Data Analysis, 2009, vol. 53, issue 4, 1264-1270

Abstract: Two computable expressions for the exact density of a ratio of quadratic forms in Gaussian random vectors are derived, one of which is restricted to special cases of the problem. Ratios of this type are ubiquitous in econometrics, but their density, unlike the corresponding cumulative distribution function, has not received much attention to date. The new algorithms complement those available for the latter. The included performance study demonstrates the accuracy of the two algorithms, both absolute and relative to each other, and allows general recommendations on their use to be made.

Date: 2009
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