On the Moments of Ratios of Quadratic Forms in Normal Random Variables

Journal of Multivariate Analysis, 117, 229-245, 2013

31 Pages Posted: 8 Feb 2012 Last revised: 18 Feb 2016

Yong Bao

Purdue University

Raymond Kan

University of Toronto - Rotman School of Management

Date Written: November 26, 2012

Abstract

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.

Keywords: Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

JEL Classification: C10, C63

Suggested Citation

Bao, Yong and Kan, Raymond, On the Moments of Ratios of Quadratic Forms in Normal Random Variables (November 26, 2012). Journal of Multivariate Analysis, 117, 229-245, 2013. Available at SSRN: https://ssrn.com/abstract=2001129 or http://dx.doi.org/10.2139/ssrn.2001129

Yong Bao

Purdue University ( email )

Department of Economics
West Lafayette, IN 47907
United States

Raymond Kan (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6
Canada
416-978-4291 (Phone)
416-971-3048 (Fax)

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