Computationally efficient recursions for top-order invariant polynomials with applications


Hillier, Grant, Kan, Raymond and Wang, Xiaolu (2008) Computationally efficient recursions for top-order invariant polynomials with applications. London, GB, CeMMAP, 37pp. (CeMMAP Working Papers, CWP07/08).

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Original Publication URL: http://cemmap.ifs.org.uk/wps/cwp0708.pdf

Description/Abstract

The top-order zonal polynomials Ck(A),and top-order invariant polynomials Ck1,...,kr(A1,...,Ar)in which each of the partitions of ki,i = 1,..., r,has only one part, occur frequently in multivariate distribution theory, and econometrics - see, for example Phillips (1980, 1984, 1985, 1986), Hillier (1985, 2001), Hillier and Satchell (1986), and Smith (1989, 1993). However, even with the recursive algorithms of Ruben (1962) and Chikuse (1987), numerical evaluation of these invariant polynomials is extremely time consuming. As a result, the value of invariant polynomials has been largely confined to analytic work on distribution theory. In this paper we present new, very much more efficient, algorithms for computing both the top-order zonal and invariant polynomials. These results should make the theoretical results involving these functions much more valuable for direct practical study. We demonstrate the value of our results by providing fast and accurate algorithms for computing the moments of a ratio of quadratic forms in normal random variables.

Item Type: Monograph (Working Paper)
Related URLs:
Subjects: H Social Sciences > HA Statistics
Q Science > QA Mathematics > QA76 Computer software
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 51997
Date Deposited: 13 Jun 2008
Last Modified: 27 Mar 2014 18:35
URI: http://eprints.soton.ac.uk/id/eprint/51997

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