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The exact moments of a ratio of quadratic forms in normal variables

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  • Magnus, J.R.

    (Tilburg University, School of Economics and Management)

Abstract

The exact moments of x'Ax/x'Bx are obtained, where x is a normally distributed vector with some mean (possibly nonzero) and positive definite covariance matrix, A is symmetric and B positive semi definite. These moments appear as simple integrals which can be evaluated numerically in a straightforward manner. In addition, the precise conditions for the existence of the moments are found. Some related results are also reported.
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Suggested Citation

  • Magnus, J.R., 1986. "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM c6725407-ac3c-44fd-b6d1-5, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:c6725407-ac3c-44fd-b6d1-55057757c1c0
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