Authors

• Ali Akbar Mohsenipour
• Serge B. Provost

Abstract

Noncentral indefinite quadratic expressions in possibly non- singular normal vectors are represented in terms of the difference of two positive definite quadratic forms and an independently distributed linear combination of standard normal random variables. This result also ap- plies to quadratic forms in singular normal vectors for which no general representation is currently available. The distribution of the positive definite quadratic forms involved in the representations is approximated by means of gamma-type distributions. We are also considering general ratios of quadratic forms, as well as ratios whose denominator involves an idempotent matrix and ratios for which the quadratic form in the denominator is positive definite. Additionally, an approximation to the density of ratios of quadratic expressions in singular normal vectors is being proposed. The results are applied to the Durbin-Watson statistic and Burg’s estimator, both of which are expressible as ratios of quadratic forms.

Keywords

• Burg’s estimator
• density approximation
• Durbin-Watson statistic
• indefinite quadratic expressions
• quadratic forms
• simulations
• singular Gaussian vectors