Computing the distribution in normal variables
(Z Lu with M King)
This project 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. Also investigated was a technique suggested in the literature for further splitting truncation errors.
Finally, this project will discuss a modified secant algorithm for finding the critical value of the distribution at any given significant level.
Publications
Lu, Z.-H. (2006) The Numerical evaluation of the probability density function of a quadratic form in normal variables, Computational Statistics and Data Analysis, Volume 51, Issue 3, Pages 1986-1996
Lu, Z.-H. and M.L. King, (2002), Improving the numerical technique for computing the accumulated distribution of a quadratic form in normal variables, Econometric Reviews, 21, 149-165.