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Moments of ratios of quadratic forms

Author

Listed:
  • Gupta, A. K.
  • Kabe, D. G.

Abstract

A method is described to obtain the exact moments of ratios of quadratic forms x1 Ax/x1 x, where x is normally distributed with mean [mu] and covariance matrix [Sigma]. The moments of the serial correlation coefficient appear as a particular case.

Suggested Citation

  • Gupta, A. K. & Kabe, D. G., 1998. "Moments of ratios of quadratic forms," Statistics & Probability Letters, Elsevier, vol. 38(1), pages 69-71, May.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:1:p:69-71
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    References listed on IDEAS

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    1. Jones, M. C., 1987. "On moments of ratios of quadratic forms in normal variables," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 129-136, November.
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