Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
- 1 December 1999
- journal article
- research article
- Published by Oxford University Press (OUP) in Biometrika
- Vol. 86 (4) , 929-935
- https://doi.org/10.1093/biomet/86.4.929
Abstract
An extensive study and several applications show that a saddlepoint approximation for the distribution of quadratic forms in normal variates works very well and outperforms existing approximate methods in accuracy.Keywords
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