Improving the numerical technique for computing the accumulated distribution of a quadratic form in normal variables

Econometric Reviews

Volumn 21, Issue 2, 2002, Pages 149-165

  Lu, Zeng Hua ^a   King, Maxwell L ^b  

^a UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

C19; C63; JEL Classification; Newton'; Numerical inversion of characteristic function; Quadratic form in normal variables; s method; Secant method; Truncation error

Indexed keywords

EID: 1942496050     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1081/ETC-120014346     Document Type: Article

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