IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES

Zeng-Hua Lu and Maxwell King

Econometric Reviews, 2002, vol. 21, issue 2, 149-165

Abstract: This paper is concerned with the technique of numerically evaluating the cumulative distribution function of a quadratic form in normal variables. The efficiency of two new truncation bounds and all existing truncation bounds are investigated. We also find that the suggestion in the literature for further splitting truncation errors might reduce computational efficiency, and the optimum splitting rate could be different in different situations. A practical solution is provided. The paper also discusses a modified secant algorithm for finding the critical value of the distribution at any given significance level.

Keywords: Quadratic form in normal variables; Numerical inversion of characteristic function; Truncation error; Newton'; s method; Secant method; JEL Classification; C19; C63 (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1081/ETC-120014346 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:21:y:2002:i:2:p:149-165

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1081/ETC-120014346

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().