Saddlepoint approximations for distributions of quadratic forms in normal variables

Authors
Kuonen, D
Citation
D. Kuonen, Saddlepoint approximations for distributions of quadratic forms in normal variables, BIOMETRIKA, 86(4), 1999, pp. 929-935
Citations number
15
Categorie Soggetti
Biology,Multidisciplinary,Mathematics
Journal title
BIOMETRIKA
ISSN journal
00063444 → ACNP
Volume
86
Issue
4
Year of publication
1999
Pages
929 - 935
Database
ISI
SICI code
0006-3444(199912)86:4<929:SAFDOQ>2.0.ZU;2-8
Abstract
An extensive study and several applications show that a saddlepoint approxi mation for the distribution of quadratic forms in normal variates works ver y well and outperforms existing approximate methods in accuracy.