• Corpus ID: 218487052

An efficient and accurate approximation to the distribution of quadratic forms of Gaussian variables

@article{Zhang2020AnEA,
  title={An efficient and accurate approximation to the distribution of quadratic forms of Gaussian variables},
  author={Hong Zhang and Judong Shen and Zheyang Wu},
  journal={arXiv: Methodology},
  year={2020}
}
Fast and accurate calculation for the distributions of Quadratic forms of centered Gaussian variables is of interest in computational statistics. This paper presents a novel numerical procedure to efficiently compute the moments of a given quadratic form. Based on that, a gamma distribution with matched skewness-kurtosis ratio is proposed to approximate its distribution. Comparing with existing methods, the new method is significantly more accurate in getting the right-tail probability. The new… 

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