Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
- 1 September 1994
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 89 (427) , 924
- https://doi.org/10.2307/2290917
Abstract
In this article, the saddlepoint approximations to the density and tail probability of a ratio of quadratic forms in normal variables are derived. A numerical exposition via the Durbin-Watson test statistic reveals several desirable features. The approximations, which involve only a limited number of computable functions, provide the practitioner with an accessible and a very powerful tool.Keywords
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