This note proposes a new chi-square approximation to the distribution of non-negative definite quadratic forms in non-central normal variables. The unknown parameters are determined by the first four cumulants of the quadratic forms. The proposed method is compared with Pearson's three-moment central χ2 approximation approach, by means of numerical examples. Our method yields a better approximation to the distribution of the non-central quadratic forms than Pearson's method, particularly in the upper tail of the quadratic form, the tail most often needed in practical work.
ASJC Scopus subject areas
- Statistics and Probability
- Computational Mathematics
- Computational Theory and Mathematics
- Applied Mathematics