On the Moments of Ratios of Quadratic Forms in Normal Random Variables
University of Toronto - Rotman School of Management
November 26, 2012
Journal of Multivariate Analysis, 117, 229-245, 2013
In this paper, we present both integral and infinite series expressions of mixed moments of two quadratic forms in normal random variables. We also present efficient numerical methods for computing the mixed moments under each approach.
Number of Pages in PDF File: 31
Keywords: Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution
JEL Classification: C10, C63
Date posted: February 8, 2012 ; Last revised: March 16, 2015
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