On the moments of ratios of quadratic forms in normal random variables

Yong Bao and Raymond Kan

Journal of Multivariate Analysis, 2013, vol. 117, issue C, 229-245

Abstract: 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 under each approach.

Keywords: Moments; Ratios of quadratic forms; Multivariate normal distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:117:y:2013:i:c:p:229-245

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DOI: 10.1016/j.jmva.2013.03.002

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