Approximates p-values for quadratic forms in normal variables using
Liu's moment-matching method.
Arguments
- q
Test statistic (quadratic form value).
- lambda
Vector of eigenvalues.
Value
Approximate p-value.
Details
This method matches the first four moments of the quadratic form to a
chi-square distribution with appropriate degrees of freedom and non-centrality.
References
Liu, H., Tang, Y., and Zhang, H.H. (2009). A new chi-square approximation
to the distribution of non-negative definite quadratic forms in non-central
normal variables. Computational Statistics & Data Analysis.