Two simple approximations to the distributions of quadratic forms.
Many test statistics are asymptotically equivalent to quadratic forms of normal variables, which are further equivalent to T = sigma(d)(i=1) lambda(i)z(i)(2) with z(i) being independent and following N(0,1). Two approximations to the distribution of T have been implemented in popular software and are widely used in evaluating various models. It is important to know how accurate these approximations are when compared to each other and to the exact distribution of T. The paper systematically studies the quality of the two approximations and examines the effect of the lambda(i) and the degrees of freedom d by analysis and Monte Carlo. The results imply that the adjusted distribution for T can be as good as knowing its exact distribution. When the coefficient of variation of the lambda(i) is small, the rescaled statistic T(R) = dT/(sigma(d)(i=1) lambda(i)) is also adequate for practical model inference. But comparing T(R) against chi2(d) will inflate type I errors when substantial differences exist among the lambda(i), especially, when d is also large.
Yuan
Ke-Hai
KH
University of Notre Dame, Notre Dame, Indiana 46556, USA. kyuan@nd.edu
Bentler
Peter M
PM
D016009:Chi-Square Distribution; D006801:Humans; D016013:Likelihood Functions; D008432:Mathematical Computing; D008960:Models, Psychological; D009010:Monte Carlo Method; D011594:Psychometrics / Q000706:statistics & numerical data*; D012984:Software; D016008:Statistical Distributions