On the expectation of a ratio of quadratic forms in normal variables

Murray D. Smith

Journal of Multivariate Analysis, 1989, vol. 31, issue 2, 244-257

Abstract: Using relatively recent results from multivariate distribution theory, the expectation of a ratio of quadratic forms in normal variables is obtained. Infinite series expressions involving the invariant polynomials of matrix argument are derived. Convergence of the solution depends upon the choice made for two positive, but upper bounded, constants. The same methodology is used to obtain the expectation of multiple ratios of quadratic forms in normal variables.

Keywords: quadratic; forms; zonal; polynomials; invariant; polynomials; generalized; hypergeometric; function (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (8)

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