[R] what does the sum of square of Gaussian RVs with differen t variance obey?
Peter Dalgaard BSA
p.dalgaard at biostat.ku.dk
Wed Sep 24 13:46:39 CEST 2003
RBaskin at ahrq.gov writes:
> This is a relatively recent article that is somewhat accessible.
> Jensen, D. R., and Solomon, Herbert (1994), "Approximations to joint
> distributions of definite quadratic forms", Journal of the American
> Statistical Association, 89 , 480-486
> It has references to previous work.
>
> I also have an old paper that is so old I can't tell what journal it came
> out of:(
> Grad, Arthur and Solomon, Herbert "Distribution of Quadratic Forms and Some
> Applications" probably published in 55 or 56 but I can't tell. The paper by
> Grad and Solomon uses the moment generating function to give the exact
> distribution and various approximations to produce a table for a sum of 2 or
> 3 variates.
Looks like this one (courtesy of JSTOR):
Distribution of Quadratic Forms and Some Applications
Arthur Grad; Herbert Solomon
The Annals of Mathematical Statistics, Vol. 26, No. 3. (Sep.,
1955), pp. 464-477.
--
O__ ---- Peter Dalgaard Blegdamsvej 3
c/ /'_ --- Dept. of Biostatistics 2200 Cph. N
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~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
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