dtil2_pq: Coefficients in polynomial expansion of generating...

In qfratio: Moments and Distributions of Ratios of Quadratic Forms Using Recursion

Coefficients in polynomial expansion of generating function—for products

Description

These are internal functions to calculate the coefficients in polynomial expansion of joint generating functions for two or three quadratic forms in potentially noncentral multivariate normal variables, \mathbf{x} \sim N_n(\bm{\mu}, \mathbf{I}_n). They are primarily used to calculate moments of a product of two or three quadratic forms.

Usage

dtil2_pq_m(A1, A2, mu = rep.int(0, n), p = 1L, q = 1L)

dtil2_1q_m(A1, A2, mu = rep.int(0, n), q = 1L)

dtil2_pq_v(L1, L2, mu = rep.int(0, n), p = 1L, q = 1L)

dtil2_1q_v(L1, L2, mu = rep.int(0, n), q = 1L)

dtil3_pqr_m(A1, A2, A3, mu = rep.int(0, n), p = 1L, q = 1L, r = 1L)

dtil3_pqr_v(L1, L2, L3, mu = rep.int(0, n), p = 1L, q = 1L, r = 1L)

Arguments

A1, A2, A3	Argument matrices. Assumed to be symmetric and of the same order.
mu	Mean vector \bm{\mu} for \mathbf{x}
p, q, r	Integer-alikes to specify the order along the three argument matrices
L1, L2, L3	Eigenvalues of the argument matrices

Details

dtil2_pq_m() and dtil2_pq_v() calculate \tilde{d}_{p,q}(\mathbf{A}_1, \mathbf{A}_2) in Hillier et al. (2014). dtil2_1q_m() and dtil2_1q_v() are fast versions for the commonly used case where p = 1. Similarly, dtil3_pqr_m() and dtil3_pqr_v() are for \tilde{d}_{p,q,r}(\mathbf{A}_1, \mathbf{A}_2, \mathbf{A}_3) .

Those ending with _m take matrices as arguments, whereas those with _v take eigenvalues. The latter can be used only when the argument matrices share the same eigenvectors, to which the eigenvalues correspond in the orders given, but is substantially faster.

These functions calculate the coefficients based on the super-short recursion algorithm described in Hillier et al. (2014: sec. 4.2).

Value

A (p + 1) * (q + 1) matrix for the 2D functions, or a (p + 1) * (q + 1) * (r + 1) array for the 3D functions.

The 1st, 2nd, and 3rd dimensions correspond to increasing orders for \mathbf{A}_1, \mathbf{A}_2, and \mathbf{A}_3, respectively. And the 1st row/column of each dimension corresponds to the 0th order (hence [p + 1, q + 1] for the (p,q)-th moment).

References

Hillier, G., Kan, R. and Wang, X. (2014) Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors. Econometric Theory, 30, 436–473. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1017/S0266466613000364")}.

See Also

qfpm is a front-end functions that utilizes these functions

d1_i for a single-matrix equivalent of \tilde{d}

qfratio documentation built on June 22, 2024, 12:16 p.m.