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Biometrika 1999 86(4):929-935; doi:10.1093/biomet/86.4.929
© 1999 by Biometrika Trust
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Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables

D Kuonen

Department of Mathematics, Swiss Federal Institute of Technology, 1015 Lausanne, Switzerland E-mail: diego.kuonen@epfl.ch

An extensive study and several applications show that a saddlepoint approximation for the distribution of quadratic forms in normal variates works very well and outperforms existing approximate methods in accuracy.

Key Words: Chi-squared variable; nonparametric regression; normal variable; pseudolikelihood ratio test; quadratic form; saddlepoint approximation


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