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

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 f...

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Bibliographic Details
Published inEconometric reviews Vol. 21; no. 2; pp. 149 - 165
Main Authors Lu, Zeng-Hua, King, Maxwell L.
Format Journal Article
LanguageEnglish
Published Taylor & Francis Group 2002
Taylor and Francis Journals
SeriesEconometric Reviews
Subjects
C19
C63
Computers
Econometric models
Econometrics
Information technology
JEL Classification
Mathematical methods
Newton
Numerical inversion of characteristic function
Quadratic form in normal variables
s method
Secant method
Truncation error
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Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0747-4938
1532-4168
DOI:10.1081/ETC-120014346