The University of Southampton
University of Southampton Institutional Repository

The density of a quadratic form in a vector uniformly distributed on the n-sphere

Record type: Article

There are many instances in the statistical literature in which inference is based on a normalized quadratic form in a standard normal vector, normalized by the squared length of that vector. Examples include both test statistics (the Durbin–Watson statistic) and estimators (serial correlation coefficients). Although much studied, no general closed-form expression for the density function of such a statistic is known. This paper gives general formulae for the density in each open interval between the characteristic roots of the matrix involved. Results are given for the case of distinct roots, which need not be assumed positive, and when the roots occur with multiplicities greater than one. Starting from a representation of the density as a surface integral over an (n [minus sign] 2)-dimensional hyperplane, the density is expressed in terms of top-order zonal polynomials involving difference quotients of the characteristic roots of the matrix in the numerator quadratic form.

Full text not available from this repository.

Citation

Hillier, Grant (2001) The density of a quadratic form in a vector uniformly distributed on the n-sphere Econometric Theory, 17, (1), pp. 1-28. (doi:10.1017/S026646660117101X).

More information

Published date: 2001
Organisations: Economics

Identifiers

Local EPrints ID: 33410
URI: http://eprints.soton.ac.uk/id/eprint/33410
PURE UUID: 5c3105b2-2c9c-4468-ac34-012ee4a680fa

Catalogue record

Date deposited: 16 May 2006
Last modified: 17 Jul 2017 15:52

Export record

Altmetrics


Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×