Numerical evaluation of methods approximating the distribution of a large quadratic form in normal variables
Data:
| Data name | Quadratic form |
|---|---|
| s500 | Q1 |
| s1000 | Q2 |
| S2000 | Q3 |
| S7000 | Q4 |
| S9000 | Q5 |
| S20000 | Q6 |
code:
- Existing_method.r produces Figure 1.
- large_qf.r produces examples in Section 3.
- Bausch_method.r produces results of Bausch's method in supplementary information