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On the Existence of Moments of Ratios of Quadratic Forms

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  • Roberts, Leigh A.

Abstract

We obtain simple and generally applicable conditions for the existence of mixed moments E([X′ AX]″/[X′BX]U) of the ratio of quadratic forms T = X′ AX/X′BX where A and B are n × n symmetric matrices and X is a random n-vector. Our principal theorem is easily stated when X has an elliptically symmetric distribution, which class includes the multivariate normal and t distributions, whether degenerate or not. The result applies to the ratio of multivariate quadratic polynomials and can be expected to remain valid in most situations in which X is subject to linear constraints. If u ≤ v, the precise distribution of X, and in particular the existence of moments of X, is virtually irrelevant to the existence of the mixed moments of T; if u > v, a prerequisite for existence of the (u, v)th mixed moment is the existence of the 2(u − v)th moment of X When Xis not degenerate, the principal further requirement for the existence of the mixed moment is that B has rank exceeding 2v.

Suggested Citation

  • Roberts, Leigh A., 1995. "On the Existence of Moments of Ratios of Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 11(4), pages 750-774, August.
    • Handle: RePEc:cup:etheor:v:11:y:1995:i:04:p:750-774_00
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    Cited by:

    1. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3355-3367, April.
    2. Bao, Yong & Kan, Raymond, 2013. "On the moments of ratios of quadratic forms in normal random variables," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 229-245.
    3. Federico Martellosio, 2020. "Non-Identifiability in Network Autoregressions," Papers 2011.11084, arXiv.org, revised Jun 2022.
    4. Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013. "On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 29(3), pages 545-566, June.
    5. Bao, Yong & Ullah, Aman & Zinde-Walsh, Victoria, 2013. "On existence of moment of mean reversion estimator in linear diffusion models," Economics Letters, Elsevier, vol. 120(2), pages 146-148.
    6. Paolella, Marc S., 2003. "Computing moments of ratios of quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 313-331, March.

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