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Computationally efficient recursions for top-order invariant polynomials with applications

Record type: Monograph (Working Paper)

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.

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Citation

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).

More information

Published date: 2008

Identifiers

Local EPrints ID: 51997
URI: http://eprints.soton.ac.uk/id/eprint/51997
PURE UUID: 42e998ff-f4b4-4c76-92d1-f2755a2467e8

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Date deposited: 13 Jun 2008
Last modified: 17 Jul 2017 14:47

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Contributors

Author: Grant Hillier
Author: Raymond Kan
Author: Xiaolu Wang

University divisions

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